Results 91 to 100 of about 3,126,721 (184)

RISK-FREE INTERNAL GAINS – BLACK AND SCHOLES RE-EXAMINED [PDF]

In this paper we first show that if a not-necessarily-self-financing portfolio has instantaneously riskless internal gains, then on an infinitesimal time-interval, the increase in the internal gains on the portfolio is the same as the change in the price
Gergei Bana
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Pricing European and Barrier Options in the Fractional Black-Scholes Market [PDF]

The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
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Exponential Finite Difference Method for Nonlinear Black-Scholes Equation [PDF]

, 2017
Bu tezde, likit olmayan bir piyasada ortaya çıkan doğrusal olmayan Black-Scholes denklemi için üstel sonlu fark yöntemi çalışılmıştır. 1. Bölüm opsiyon fiyatlandırması problemi terminolojisi, temel tanımlar ve literatür taramasına ayrılmıştır. 2. Bölümde
Omar, Fathıa
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Black-Scholes Martingale Model: An Algorithm Analysis [PDF]

, 2010
As trading volume and variety of option contracts keep increasing in financial markets around the world, computing speed and running time of financial software have become crucial factors at options trading board where appropriate pricing of option ...
440, 渡邉, 泰典, 441, Watanabe, yasunori, 443, Honobe, Erick, ワタナベ, ヤスノリ, Watanabe, Yasunori   +7 more
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Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach

, 2007
We show that the problem of recovering the time-dependent parameters of an equation of Black-Scholes type can be formulated as an inverse Stieltjes moment problem. An application to the problem of implied volatility calculation in the case when the model
Marianito R Rodrigo (20192331), Rogemar S Mamon (20192334)   +1 more
core   +1 more source

The Junction of PDEs, Financial Mathematics and Probability: Deriving Classical and Generalized Black-Scholes–Merton Formulas

AppliedMath
This paper explores the intersection of three foundational areas—partial differential equations, financial mathematics, and probability—by providing a rigorous framework for the classical Black-Scholes–Merton option pricing model and its generalized ...
Len Meas, Chhaunny Chhum, Phichhang Ou, Mara Mong   +3 more
doaj   +1 more source

Ulam-Hyers stability of a parabolic partial differential equation

Demonstratio Mathematica, 2019
The goal of this paper is to give an Ulam-Hyers stability result for a parabolic partial differential equation. Here we present two types of Ulam stability: Ulam-Hyers stability and generalized Ulam-Hyers-Rassias stability.
Marian Daniela, Ciplea Sorina Anamaria, Lungu Nicolaie   +2 more
doaj   +1 more source

Finding the Solution to the Black-Scholes Equation [PDF]

, 2019
This paper will explore the solution of the Black-Scholes Equation which is used in mathematical finance. It will derive the solution to the Black-Scholes equation, using the solution of the Heat Equation.
Law, Elizabeth
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The black-Scholes formula and the Greek parameters for a nonlinear Black-Scholes equation

, 2016
We study the Greek (risk) parameters of a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction costs. These parameters are derived from the Black-Scholes formula of the nonlinear Black-Scholes equation
Esekon, Joseph E
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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
doaj