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A New Solution to the Fractional Black–Scholes Equation Using the Daftardar-Gejji Method
Mathematics, 2023 The main objective of this study is to determine the existence and uniqueness of solutions to the fractional Black–Scholes equation. The solution to the fractional Black–Scholes equation is expressed as an infinite series of converging Mittag-Leffler ...
Agus Sugandha +3 more
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Mathematics, 2021 In the finance market, it is well known that the price change of the underlying fractal transmission system can be modeled with the Black-Scholes equation.
Sivaporn Ampun, Panumart Sawangtong
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Lie Symmetries of (1+2) Nonautonomous Evolution Equations in Financial Mathematics
Mathematics, 2016 We analyse two classes of ( 1 + 2 ) evolution equations which are of special interest in Financial Mathematics, namely the Two-dimensional Black-Scholes Equation and the equation for the Two-factor Commodities Problem. Our approach is that of Lie
Andronikos Paliathanasis +2 more
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On the solution of two-dimensional fractional Black–Scholes equation for European put option
Advances in Difference Equations, 2020 The purpose of this paper was to investigate the dynamics of the option pricing in the market through the two-dimensional time fractional-order Black–Scholes equation for a European put option.
Din Prathumwan, Kamonchat Trachoo
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Simulating the non-Hermitian dynamics of financial option pricing with quantum computers [PDF]
Scientific ReportsThe Schrödinger equation describes how quantum states evolve according to the Hamiltonian of the system. For physical systems, we have it that the Hamiltonian must be a Hermitian operator to ensure unitary dynamics.
Swagat Kumar, Colin Michael Wilmott
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An adaptive moving mesh method for a time-fractional Black–Scholes equation
Advances in Difference Equations, 2019 In this paper we study the numerical method for a time-fractional Black–Scholes equation, which is used for option pricing. The solution of the fractional-order differential equation may be singular near certain domain boundaries, which leads to ...
Jian Huang, Zhongdi Cen, Jialiang Zhao
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„BLACK-SCHOLES MODEL USED TO EVALUATE STOCKS OPTIONS” [PDF]
Annals of the University of Oradea: Economic Science, 2010 Partial differential equation, parabolic Black-Scholes type, is used in evaluating equity options, that paying constant and continue dividends or in evaluate options in which interest rate, volatility and dividend are dependent on time.
Turcan Radu Olimpiu Calin
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Option pricing by Nikivorou-Ovarov differential resolution method [PDF]
فصلنامه بورس اوراق بهادار, 2021 The Black-Scholes pricing theory is one of the most important ways of valuating transaction options. This equation is used to pricing a variety of European options.
mehdi abvali +3 more
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Forecasting stock options prices via the solution of an ill-posed problem for the Black–Scholes equation [PDF]
Inverse Problems, 2022 In the previous paper (2016 Inverse Problems 32 015010), a new heuristic mathematical model was proposed for accurate forecasting of prices of stock options for 1–2 trading days ahead of the present one. This new technique uses the Black–Scholes equation
M. Klibanov +3 more
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The Role of the Volatility in the Option Market
AppliedMath, 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.
Ivan Arraut, Ka-I Lei
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