Results 101 to 110 of about 13,388 (185)

Black-Scholes equation from Gauge Theory of Arbitrage [PDF]

We apply Gauge Theory of Arbitrage (GTA) {hep-th/9710148} to derivative pricing. We show how the standard results of Black-Scholes analysis appear from GTA and derive correction to the Black-Scholes equation due to a virtual arbitrage and speculators ...
Kirill Ilinski, Gleb Kalinin
core  

Symmetries of the Black-Scholes equation [PDF]

We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.
Paul Lescot
core  

Analytic solution of a nonlinear black-scholes partial differential equation [PDF]

, 2010
We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of a feedback effect. This is an illiquid market effect arising from transaction costs.
Onyango, Silas, Esekon, Joseph, Ongati, Naftali O.   +2 more
core  

ANALYTIC SOLUTION OF A NONLINEAR BLACK-SCHOLES EQUATION [PDF]

, 2016
We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction costs that lead to market illiq- uidity. After reducing the equation into a nonlinear parabolic porous medium type equation, we find that
Esekon, Joseph E
core  

Revisiting Black–Scholes: A Smooth Wiener Approach to Derivation and a Self-Contained Solution

Mathematics
This study presents a self-contained derivation and solution of the Black and Scholes partial differential equation (PDE), replacing the standard Wiener process with a smoothed Wiener process, which is a differentiable stochastic process constructed via ...
Alessandro Saccal, Andrey Artemenkov
doaj   +1 more source

PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation. [PDF]

Entropy (Basel), 2019
Hicks W.
europepmc   +1 more source

Neural Network Learning of Black-Scholes Equation for Option Pricing [PDF]

One of the most discussed problems in the financial world is stock option pricing. The Black-Scholes Equation is a Parabolic Partial Differential Equation which provides an option pricing model.
Ferreira, Tiago Alessandro Espinola, Santos, Daniel de Souza   +1 more
core   +1 more source

Analytic solution of a nonlinear Black-Scholes partial differential equation [PDF]

, 2016
We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of a feedback effect. This is an illiquid mar- ket effect arising from transaction costs.
Esekon, Joseph E
core  

An Efficient Numerical Model for the Black–Scholes Equations

Journal of Applied Mathematics
In this paper, a novel numerical model for the Black–Scholes equations is developed. To address some potential issues that may arise when solving this equation using the conventional model, the original Black–Scholes equation is reformulated as a ...
Yan Zhou, Yunxing Zhang
doaj   +1 more source

An unconditionally stable, positivity-preserving splitting scheme for nonlinear Black-Scholes equation with transaction costs. [PDF]

ScientificWorldJournal, 2014
Guo J, Wang W.
europepmc   +1 more source