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Qualitative phase portrait of modified Black Scholes model

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dc.title Qualitative phase portrait of modified Black Scholes model en
dc.contributor.author Konečný, Jiří
dc.contributor.author Vícha, Tomáš
dc.contributor.author Dohnal, Mirko
dc.relation.ispartof Expert Systems with Applications
dc.identifier.issn 0957-4174 Scopus Sources, Sherpa/RoMEO, JCR
dc.date.issued 2010
utb.relation.volume 37
utb.relation.issue 5
dc.citation.spage 3823
dc.citation.epage 3826
dc.type article
dc.language.iso en
dc.publisher Pergamon Elsevier Science Ltd. en
dc.identifier.doi 10.1016/j.eswa.2009.11.037
dc.relation.uri https://www.sciencedirect.com/science/article/pii/S0957417409009798
dc.subject Qualitative modeling en
dc.subject Black-Scholes model en
dc.subject Chaos theory en
dc.description.abstract 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 incorporated into 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 demonstrated below. en
utb.faculty Faculty of Logistics and Crisis Management
dc.identifier.uri http://hdl.handle.net/10563/1001681
utb.identifier.rivid RIV/70883521:28160/10:63510100!RIV11-MSM-28160___
utb.identifier.obdid 43864482
utb.identifier.scopus 2-s2.0-73249128417
utb.identifier.wok 000274594300036
utb.source j-riv
utb.contributor.internalauthor Konečný, Jiří
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