Keywords: Black-Scholes formula; European option; Black-Scholes partial differential equation; Hermite polynomials;
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Keywords: Lie symmetries; Invariant solutions; Arbitrage-free; Black-Scholes formula; European call option;
High order method for Black-Scholes PDE
Keywords: Option pricing; Black-Scholes Formula; Compact difference scheme; Backward differentiation formula; Grid refinement method;
Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula
Keywords: 62P05; 41A25; Bernstein's inequalities; Option pricing; Binomial model; Cox-Ross-Rubinstein formula; Black-Scholes formula; Rate of convergence;
Richter's local limit theorem and Black-Scholes type formulas
Keywords: Multinomial distribution; Local limit theorems; Black-Scholes formula;
Continuous time Black-Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime
Keywords: Subdiffusion; Black-Scholes formula; Fractional Black-Scholes equation; Transaction costs;
A simple expected volatility (SEV) index: Application to SET50 index options
Keywords: Volatility index; Model selection; Black-Scholes formula; Price forecasting; Time series;
A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
Keywords: C11; C14; G12; Black-Scholes formula; Bootstrapping; Cross-validation; Markov chain Monte Carlo; Time to maturity;
Perturbation expansion for option pricing with stochastic volatility
Keywords: 65.40.Gr; 47.53.+n; 05.90.+m; Black-Scholes formula; Volatility; Gamma distribution; Mellin transform;
Option prices as probabilities
Keywords: G10; G11; G12; G13; Calendar spreads; Spectrally negative processes; Black-Scholes formula;
A note on portfolios with risk-free internal gains
Keywords: primary 91B28; secondary 60H30; Mathematical finance; Black-Scholes formula; Wiener process; Self-financing portfolio;
An analytical approximation to the option formula for the GARCH model
Keywords: Black-Scholes formula; GARCH process; Volatility term structure; Greek letters; Moment generating function; G10; G13;