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  • Black-Scholes model (BS) and lattices are well-known methodologies applied to option pricing, with their own specific features and properties. Briefly, lattices are discrete in the inner computing process and stochastically based, while BS is represented by a continuous functional form without single steps, but deterministic only. The strong assumption of constant volatility and the inability of application in valuing “American” options represent major disadvantages of the BS model. Its main advantage is its simplicity and ease of application. The use of Monte Carlo simulations constitutes an alternative to this model. Its main advantages include a relatively easy procedure of calculation and efficiency. Problems can arise when applied to the “American” option. Likewise, this method does not belong among highly sophisticated ones due to the requirements of prerequisites. If we were to consider a model that can work with the “American“ option, i.e.
  • Black-Scholes model (BS) and lattices are well-known methodologies applied to option pricing, with their own specific features and properties. Briefly, lattices are discrete in the inner computing process and stochastically based, while BS is represented by a continuous functional form without single steps, but deterministic only. The strong assumption of constant volatility and the inability of application in valuing “American” options represent major disadvantages of the BS model. Its main advantage is its simplicity and ease of application. The use of Monte Carlo simulations constitutes an alternative to this model. Its main advantages include a relatively easy procedure of calculation and efficiency. Problems can arise when applied to the “American” option. Likewise, this method does not belong among highly sophisticated ones due to the requirements of prerequisites. If we were to consider a model that can work with the “American“ option, i.e. (en)
Title
  • The Classical and Stochastic Approach to Option Pricing
  • The Classical and Stochastic Approach to Option Pricing (en)
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  • The Classical and Stochastic Approach to Option Pricing
  • The Classical and Stochastic Approach to Option Pricing (en)
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  • RIV/00216224:14560/14:00077219!RIV15-MSM-14560___
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  • RIV/00216224:14560/14:00077219
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  • option pricing; lattices; Black-Scholes model; volatility; Geometric Brownian motion (en)
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  • Proceedings of the 11th International Scientific Conference European Financial Systems 2014
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  • Cupal, Martin
  • Benada, Luděk
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  • 000350701500006
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  • Masaryk University
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  • 9788021071537
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  • 14560
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