A General Conformable Black–Scholes Equation for Option Pricing DOI Creative Commons
Paula Morales-Bañuelos,

Sebastian Elias Rodríguez Bojalil,

Luis Alberto Quezada-Téllez

et al.

Mathematics, Journal Year: 2025, Volume and Issue: 13(10), P. 1576 - 1576

Published: May 10, 2025

Since the emergence of Black–Scholes model (BSM) in early 1970s, models for pricing financial options have been developed and evolved with mathematical tools that provide greater efficiency accuracy valuation these assets. In this research, we used generalized conformable derivatives associated seven obtained a closed-form solution is similar to traditional Black Scholes. addition, an empirical analysis was carried out test Mexican contracts listed 2023. Six foreign were also tested, particular three London US options. With sample, addition applying models, compared results Heston model. We much better models. Similarly, decided apply data Morales et al. article, again determined greatly outperform approximation Black, Scholes (BS), Merton time-varying parameters basic Khalil equation. base it strength on 10 stock out-sampled. MSE results, sample six whose shares traded New York markets, tested positivity stability results. plotted values option by each model, market value contracts.

Language: Английский

A General Conformable Black–Scholes Equation for Option Pricing DOI Creative Commons
Paula Morales-Bañuelos,

Sebastian Elias Rodríguez Bojalil,

Luis Alberto Quezada-Téllez

et al.

Mathematics, Journal Year: 2025, Volume and Issue: 13(10), P. 1576 - 1576

Published: May 10, 2025

Since the emergence of Black–Scholes model (BSM) in early 1970s, models for pricing financial options have been developed and evolved with mathematical tools that provide greater efficiency accuracy valuation these assets. In this research, we used generalized conformable derivatives associated seven obtained a closed-form solution is similar to traditional Black Scholes. addition, an empirical analysis was carried out test Mexican contracts listed 2023. Six foreign were also tested, particular three London US options. With sample, addition applying models, compared results Heston model. We much better models. Similarly, decided apply data Morales et al. article, again determined greatly outperform approximation Black, Scholes (BS), Merton time-varying parameters basic Khalil equation. base it strength on 10 stock out-sampled. MSE results, sample six whose shares traded New York markets, tested positivity stability results. plotted values option by each model, market value contracts.

Language: Английский

Citations

0