Results 91 to 100 of about 13,388 (185)
Discrete Dynamics in Nature and Society, 2016 We investigate the accurate computations for the Greeks using the numerical solutions of the Black-Scholes partial differential equation. In particular, we study the behaviors of the Greeks close to the maturity time and in the neighborhood around the ...
Darae Jeong, Minhyun Yoo, Junseok Kim
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AxiomsThis paper explores the implications of modifying the canonical Heisenberg commutation relations over two simple systems, such as the free particle and the tunnel effect generated by a step-like potential.
Mauricio Contreras González +2 more
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FINITE ELEMENT SOLUTIONS OF THE BLACK SCHOLES EQUATION [PDF]
, 2019 Bu tez, Opsiyon Değerleme yöntemlerinden Black Scholes denkleminin sonlu eleman çözümleri üzerine tasarlanmıştır. Araştırmanın ilk bölümünde sonlu elemanlar yöntemi, opsiyonlar ve opsiyon fiyatlandırma yöntemi olan Black Scholes denklemi hakkında ...
Asar,Cihan
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Lie Symmetry Analysis of a Nonlinear Black–Scholes Equation in Illiquid Markets
International Journal of Mathematics and Mathematical SciencesWe have conducted comprehensive Lie symmetry analysis of a nonlinear Black–Scholes equation that arises in illiquid markets. The equation incorporates nonlinearities arising from market constraints, such as transaction costs and liquidity effects.
Winter Sinkala
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The Riccati System and a Diffusion-Type Equation
Mathematics, 2014 We discuss a method of constructing solutions of the initial value problem for diffusion-type equations in terms of solutions of certain Riccati and Ermakov-type systems. A nonautonomous Burgers-type equation is also considered. Examples include, but are
Erwin Suazo +2 more
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Comparative Error Analysis of the Black-Scholes Equation [PDF]
, 2019 Finance is a rapidly growing area in our banking world today. With this ever-increasing development come more complex derivative products than simple buy-and-sell trades. Financial derivatives such as futures and options have been developed stemming from
Chen, Chuan
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Control of the Black-Scholes equation [PDF]
, 2017 International audienceThe purpose of this work is to apply the results developped by J.Y. Chemin and Cl. David, to the Black-Scholes equation. This latter equation being directly linked to the heat equation, it enables us to propose a new approach ...
David, Claire
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Asymptotic Behaviour of The Heat Equation as The Solution of The Black-Scholes Model [PDF]
, 2021 We carry out the reduction of the Black - Scholes equation via series of transformations toobtain the heat equation by reversing the direction of time,so that the pay-off of the Black-Scholes becomethe initial value condition of the heat equation.The ...
A.O Akeju
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AppliedMathThis 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 +3 more
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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 +2 more
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