Zobrazeno 1 - 10
of 1 195
pro vyhledávání: '"Black–Scholes equation"'
Publikováno v:
Alexandria Engineering Journal, Vol 112, Iss , Pp 235-245 (2025)
The time fractional Black–Scholes equation (TFBSE) is designed to evaluate price fluctuations within a correlated fractal transmission system. This model prices American or European put and call options on non-dividend-paying stocks. Reliable and e
Externí odkaz:
https://doaj.org/article/dceb552227eb40e186f8a6650a185827
Publikováno v:
AIMS Mathematics, Vol 9, Iss 9, Pp 24699-24721 (2024)
Financial engineering problems hold considerable significance in the academic realm, where there remains a continued demand for efficient methods to scrutinize and analyze these models. Within this investigation, we delved into a fractional nonlinear
Externí odkaz:
https://doaj.org/article/d81947120386405db36529057fe25ab8
Publikováno v:
Journal of Mahani Mathematical Research, Vol 13, Iss 2, Pp 423-452 (2024)
In this paper, a hybrid method for solving time-fractional Black-Scholes equation is introduced for option pricing. The presented method is based on time and space discretization. A second order finite difference formula is used to time discretizatio
Externí odkaz:
https://doaj.org/article/c80b28a740b0433dabf9153dee413eac
Publikováno v:
Mathematics and Modeling in Finance, Vol 4, Iss 1, Pp 147-157 (2024)
This study compares the performance of the classic Black-Scholes model and the generalized Liu and Young model in pricing European options and calculating derivatives sensitivities in high volatile illiquid markets. The generalized Liu and Young mode
Externí odkaz:
https://doaj.org/article/8b4f111079ed4e3184de54c2d29380b7
Autor:
Xin Cai, Yihong Wang
Publikováno v:
Mathematics, Vol 12, Iss 21, p 3343 (2024)
This paper addresses the valuation of European options, which involves the complex and unpredictable dynamics of fractal market fluctuations. These are modeled using the α-order time-fractional Black–Scholes equation, where the Caputo fractional d
Externí odkaz:
https://doaj.org/article/3fe9f4fd0c104a1391d32912b40ae8c0
Autor:
Ivan Arraut, Ka-I Lei
Publikováno v:
AppliedMath, Vol 3, Iss 4, Pp 882-908 (2023)
We review some general aspects about the Black–Scholes equation, which is used for predicting the fair price of an option inside the stock market. Our analysis includes the symmetry properties of the equation and its solutions. We use the Hamiltoni
Externí odkaz:
https://doaj.org/article/37a2ae79a18a4c3296a8d5da07338ed2
Akademický článek
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Publikováno v:
Results in Applied Mathematics, Vol 21, Iss , Pp 100423- (2024)
In this paper, a partial differential equation approach based on the underlying stock price path decomposition is developed to price an American-style resettable convertible bond. The American-style resettable convertible bond is viewed as a mixture
Externí odkaz:
https://doaj.org/article/2da8d3e6fa064ebcb14247fac5aa07b0
Autor:
Sanjay Ghevariya, CHETANBHAI PATEL
Publikováno v:
Ratio Mathematica, Vol 48, Iss 0 (2023)
A famous Black-Scholes differential equation is used for pricing options in financial world which represents financial derivatives more significantly. Option is one of the crucial financial derivatives. Sawangtong P., Trachoo K., Sawangtong W. and Wi
Externí odkaz:
https://doaj.org/article/08bf27e5c27147d59f824f20615b8525
Autor:
Peter Takac
Publikováno v:
Electronic Journal of Differential Equations, Vol Special Issues, Iss 02, Pp 239-253 (2023)
Externí odkaz:
https://doaj.org/article/ca4e0ef03f174be281905c64a5e01071