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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 ...
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 ...
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 ...