Browsing School of Biological, Physical, Mathematics & Actuarial Sciences by Subject "Volatility"
Now showing items 1-5 of 5
-
A Combination of Dividend and Jump Diffusion Process on Heston Model in Deriving Black Scholes Equation
(International Journal of Statistics and Applied Mathematics, 12/10/2021)The reality that exists in a stock market situation is that assets do pay dividend to owners of assets or derivative securities. Dupire, Derman and Kani built an option pricing process with a dividend yielding diffusion ... -
Derivation of Black Scholes Equation Using Heston’s Model with Dividend Yielding Asset
(International Journal of Statistics and Applied Mathematics, 12/5/2021)Black Scholes formula is crucial in modern applied finance. Since the introduction of Black – Scholes concept model that assumes volatility is constant; several studies have proposed models that address the shortcomings ... -
Estimation of market volatility-A case of logistic brownian motion
(International Journals of Marketing and Technology, 6/29/2013)In this paper, we have used the Dupire's equation to derive the volatility model when the asset price follows logistic Brownian motion. We have used the analysis of Brownian motion, logistic Brownian motion, derivation of ... -
Formulating Black Scholes Equation Using a Jump Diffusion Heston’s Model
(International Journal of Statistics and Applied Mathematics, 12/7/2021)In modern financial mathematics, accurate values are obtained by taking into account a considerable number of more realistic assumptions in logistic Black Scholes equation. The aspects considered here are cost of transactions ... -
Volatility Estimation Using European-Logistic Brownian Motion with Jump Diffusion Process
(International Journal of Mathematics And its Applications, 2020)Volatility is the measure of how we are uncertain about the future of stock or asset prices. Black-Scholes model formed the foundation of stock or asset pricing. However, some of its assumptions like constant volatility ...
