Results 1 to 10 of about 13,388 (185)
A New Solution to the Fractional Black–Scholes Equation Using the Daftardar-Gejji Method [PDF]
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
doaj +2 more sources
Studying a Tumor Growth Partial Differential Equation via the Black–Scholes Equation [PDF]
Computation, 2020 Two equations are considered in this paper—the Black–Scholes equation and an equation that models the spatial dynamics of a brain tumor under some treatment regime. We shall call the latter equation the tumor equation.
Winter Sinkala, Tembinkosi F. Nkalashe
doaj +2 more sources
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
doaj +1 more source
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
doaj +1 more source
Symmetry Properties of Modified Black-Scholes Equation
Quantitative Methods in Economics, 2022 This paper concerns the classical and conditional symmetries of the Black-Scholes equation. Modifications of the Black-Scholes equation have also been considered and their maximal algebras of invariance have been found. Examples of creation operators for
Maciej Janowicz, Andrzej Zembrzuski
doaj +1 more source
Fractal and Fractional, 2022 An option is the right to buy or sell a good at a predetermined price in the future. For customers or financial companies, knowing an option’s pricing is crucial.
Sivaporn Ampun +2 more
doaj +1 more source
Three little arbitrage theorems
Frontiers in Applied Mathematics and Statistics, 2023 The authors proved three theorems about the exact solutions of a generalized or interacting Black–Scholes equation that explicitly includes arbitrage bubbles. These arbitrage bubbles can be characterized by an arbitrage number AN.
Mauricio Contreras G. +2 more
doaj +1 more source
The Adomian Decomposition Method for Standard Power Options
Ratio Mathematica, 2022 Black-Scholes model derived by Black and Scholes is worldwide used mathematical model for valuing option price. This model brings a new quantitative approach for researcher to finding theoretical values of options.
Sanjay J. Ghevariya
doaj +1 more source
Analytical solution of time-fractional N-dimensional Black-Scholes equation using LHPM
Ratio Mathematica, 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.
Sanjay Ghevariya, CHETANBHAI PATEL
doaj +1 more source
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
doaj +1 more source