Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Krzyżanowski, Grzegorz"'
In this paper, we focus on the tempered subdiffusive Black-Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model. We derive the governing fractional dif
Externí odkaz:
http://arxiv.org/abs/2103.13679
In this paper, we investigate the relation between Bachelier and Black-Scholes models driven by the infinitely divisible inverse subordinators. Such models, in contrast to their classical equivalents, can be used in markets where periods of stagnatio
Externí odkaz:
http://arxiv.org/abs/2103.10185
Autor:
Krzyżanowski, Grzegorz, Sosa, Andrés
In this paper we continue the research of our recent interest rate tree model called Zero Black-Derman-Toy (ZBDT) model, which includes the possibility of a jump at each step to a practically zero interest rate. This approach allows to better match t
Externí odkaz:
http://arxiv.org/abs/2007.00705
Publikováno v:
Communications in Nonlinear Science and Numerical Simulation 96 (2021): 105676
Subdiffusion is a well established phenomenon in physics. In this paper we apply the subdiffusive dynamics to analyze financial markets. We focus on the financial aspect of time fractional diffusion model with moving boundary i.e. American and barrie
Externí odkaz:
http://arxiv.org/abs/2003.05358
We propose a modification of the classical Black-Derman-Toy (BDT) interest rate tree model, which includes the possibility of a jump with small probability at each step to a practically zero interest rate. The corresponding BDT algorithms are consequ
Externí odkaz:
http://arxiv.org/abs/1908.04401
Publikováno v:
Computers & Mathematics with Applications 80.5 (2020): 653-670
In this paper we focus on the subdiffusive Black Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model. We derive the governing fractional differential
Externí odkaz:
http://arxiv.org/abs/1907.00297
Akademický článek
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Publikováno v:
In Communications in Nonlinear Science and Numerical Simulation May 2021 96
Autor:
Krzyżanowski, Grzegorz grzegorz.krzyzanowski@pwr.edu.pl, Sosa, Andrés andres.sosa@fcea.edu.uy
Publikováno v:
Journal of Derivatives. Fall2022, Vol. 30 Issue 1, p103-118. 16p.
Akademický článek
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