Further Reflections Based on the Black-Scholes (B-S) Model

被引：0
|
作者：
Cifuentes, Arturo [1 ]
Charlin, Ventura [1 ,2 ]
机构：
[1] Clapes UC Catholic Univ Chile, Santiago, Chile
[2] VC Consultants, New York, NY 10021 USA
来源：
PHILOSOPHY OF SCIENCE | 2025年 / 92卷 / 01期
关键词：
EPISTEMOLOGY; PHILOSOPHY; ECONOMICS;
D O I：
10.1017/psa.2024.31
中图分类号：
N09 [自然科学史]; B [哲学、宗教];
学科分类号：
01 ; 0101 ; 010108 ; 060207 ; 060305 ; 0712 ;
摘要：
The Black-Scholes (B-S) model is considered by the academic environment one of the greatest achievements of financial economics. Yet it brings with it some conundrums. The model is often used in a manner that contradicts one of its assumptions, and its predictions are not supported by market reality. Here we address, from the perspective of philosophy of science, an additional issue related to this model: the distinction between its explanatory and predictive capabilities.
引用
收藏
页码：223 / 228
页数：6
相关论文
共 50 条
  • [21] Bubbles and crashes in a Black-Scholes model with delay
    Appleby, John A. D.
    Riedle, Markus
    Swords, Catherine
    FINANCE AND STOCHASTICS, 2013, 17 (01) : 1 - 30
  • [22] A NUMERICAL ANALYSIS OF THE EXTENDED BLACK-SCHOLES MODEL
    Albeverio, Sergio
    Popovici, Alex
    Steblovskaya, Victoria
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2006, 9 (01) : 69 - 89
  • [23] Performance of Black-Scholes model with TSRV estimates
    Singh, Shivam
    Vipul
    MANAGERIAL FINANCE, 2015, 41 (08) : 857 - 870
  • [24] Kurtosis in black-scholes model with Garch volatility
    Sheraz, Muhammad
    Preda, Vasile
    UPB Scientific Bulletin, Series A: Applied Mathematics and Physics, 2016, 78 (01): : 205 - 216
  • [25] Review on the Structural Approach of the Black-Scholes Model
    Saad, Shakila
    Jaffar, Maheran Mohd
    INTERNATIONAL CONFERENCE ON MATHEMATICS, ENGINEERING AND INDUSTRIAL APPLICATIONS 2014 (ICOMEIA 2014), 2015, 1660
  • [26] On a Black-Scholes American Call Option Model
    Garshasbi, Morteza
    Bagomghaleh, Shadi Malek
    COMPUTATIONAL ECONOMICS, 2025, 65 (04) : 2179 - 2204
  • [27] AN EXTENSION OF THE BLACK-SCHOLES MODEL OF SECURITY VALUATION
    DUFFIE, D
    JOURNAL OF ECONOMIC THEORY, 1988, 46 (01) : 194 - 204
  • [28] KURTOSIS IN BLACK-SCHOLES MODEL WITH GARCH VOLATILITY
    Sheraz, Muhammad
    Preda, Vasile
    UNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICS, 2016, 78 (01): : 205 - 216
  • [29] Fractional model and solution for the Black-Scholes equation
    Duan, Jun-Sheng
    Lu, Lei
    Chen, Lian
    An, Yu-Lian
    MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2018, 41 (02) : 697 - 704
  • [30] Quantum effects in an expanded Black-Scholes model
    Bhatnagar, Anantya
    Vvedensky, Dimitri D.
    EUROPEAN PHYSICAL JOURNAL B, 2022, 95 (08):
12345