Qualitative phase portrait of modified Black-Scholes model

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/70883521:28160/10:63510100

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Qualitative phase portrait of modified Black-Scholes model

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Qualitative phase portrait of modified Black-Scholes model

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název periodika

EXPERT SYSTEMS WITH APPLICATIONS

ISSN

0957-4174

e-ISSN

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Svazek periodika

37

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

4

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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