Qualitative phase portrait of modified Black-Scholes model

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F10%3APU91099" target="_blank" >RIV/00216305:26510/10:PU91099 - isvavai.cz</a>

Alternative codes found

RIV/70883521:28160/10:63510100

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Qualitative phase portrait of modified Black-Scholes model

Original language description

A qualitative model is based on only three values - positive (increasing), zero (constant) and negative (decreasing). This paper gives a simplified interpretation of some basic concepts, to eliminate the necessity of an extensive study of qualitative reasoning. The generally accepted theory of option pricing is based on the Black-Scholes model. The Black-Scholes model is transferred into a set of qualitative relations and two additional variables. Mood on stock market and risk aversion are incorporatedinto the qualitative model. The resulting model has 1250 solutions, and there are 16,416 transitions among them. A Chaos related interpretation of the results is presented. An example of a prediction based on modified Black-Scholes model is demonstratedbelow.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AE - Management, administration and clerical work

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2010

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

EXPERT SYSTEMS WITH APPLICATIONS

ISSN

0957-4174

e-ISSN

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Volume of the periodical

37

Issue of the periodical within the volume

5

Country of publishing house

US - UNITED STATES

Number of pages

4

Pages from-to

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UT code for WoS article

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EID of the result in the Scopus database

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