Results 111 to 120 of about 13,388 (185)

A put option's value for a nonlinear black-scholes equation [PDF]

, 2015
We study a nonlinear Black-Scholes partial differential equation for modelling illiquid markets with feedback effects. After reducing the equation into a second-order nonlinear partial differential equation, we find that the assumption of a traveling ...
Esekon, Joseph E, Joseph Eyang'an Esekon   +1 more
core  

Cubic Trigonometric B-spline Collocation Approach for Black-Scholes Method

四川大学学报. 自然科学版, 2017
A cubic trigonometric B-spline collocation approach is developed for the numerical solution of Black-Scholes equation governing European option pricing.
WU Bei-Bei, YIN Jun-Feng, JIN Meng
doaj  

Numerical Solution of Nonlinear Black – Scholes Equation by Accelerated Genetic Algorithm [PDF]

, 2015
In this paper we using an accelerated genetic algorithm to find the numerical solution of the nonlinear versions of the standard Black–Scholes partial differential equation  with stochastic volatility (transaction coast) for European call option .
Alrajhi, Yaseen Merzah, Hussain, Eman Ali   +1 more
core   +1 more source

On exact null controllability of Black-Scholes equation [PDF]

, 2008
summary:In this paper we discuss the exact null controllability of linear as well as nonlinear Black–Scholes equation when both the stock volatility and risk-free interest rate influence the stock price but they are not known with certainty while the ...
Sowrirajan, Rangarajan, Balachandran, Krishnan, Sakthivel, Kumarasamy, Kim, Jeong-Hoon   +3 more
core  

Numerical solution of Black-Scholes equation with radialbasis functions [PDF]

Black-Scholes denkleminin Radyal Temelli Fonksiyonlar (RBF) kullanılarak çözülmesi, özellikle sayısal çözümler için önemli bir yöntemdir. RBF'ler, genellikle diferansiyel denklemlerin çözümünde kullanılan güçlü bir araçtır.
Kuzu, Buse Nisa
core  

A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation [PDF]

, 2013
This paper is concerned with the following Markovian stochastic dierential equation of mean-reversion type dRt = ( + (Rt; t))Rtdt + RtdBt with an initial value R0 = r0 2 R, where 2 R and > 0 are constants, and the mean correction function : R [0; 1) 7 ...
Wu, JiangLun, Yang, Wei
core  

Quantum effects in an expanded Black-Scholes model. [PDF]

Eur Phys J B, 2022
Bhatnagar A, Vvedensky DD.
europepmc   +1 more source

The Black-Scholes-Merton dual equation [PDF]

We derive the Black-Scholes-Merton dual equation, which has exactly the same form as the Black-Scholes-Merton equation. The novel and general equation works for options with a payoff of homogeneous of degree one, including European, American, Bermudan ...
Guo, Shuxin, Liu, Qiang
core   +1 more source

Learning variable-order time fractional diffusion equations using Physics-Informed Neural Networks. [PDF]

PLoS One
Ren L, Jin S.
europepmc   +1 more source

Unlocking the financing potential of forest-based carbon assets: a valuation framework for pledge lending under uncertainty in China. [PDF]

Sci Rep
Zhang Y, Zhang J.
europepmc   +1 more source