Results 11 to 20 of about 32,884 (141)

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
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The Approximate Analytic Solution of the Time-Fractional Black-Scholes Equation with a European Option Based on the Katugampola Fractional Derivative

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
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Controllabilty and stability analysis on a group associated with Black-Scholes equation [PDF]

Archives of Control Sciences, 2020
In this paper we have studied the driftless control system on a Lie group which arises due to the invariance of Black-Scholes equation by conformal transformations.
Archana, Tiwari, Debanjana, Bhattacharyya, K.C., Pati   +2 more
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Black-Scholes option pricing within Ito and Stratonovich conventions [PDF]

, 2000
Options financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Ito ...
Arthur, Bachelier, Bak, Baxter, Black, Bouchaud, Campbell, Carslaw, Cox, Cox, Fama, Gardiner, Gihman, Harrison, Hull, Itô, J Masoliver, J Perelló, J.M Porrà, Lindenberg, Lux, M Montero, Mandelbrot, Merton, Merton, Merton, Osborne, Sharpe, Smith, Stratonovich, Van Kampen, Wilmott, Wilmott   +32 more
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Lattice Boltzmann Method for the Generalized Black-Scholes Equation

Advances in Mathematical Physics, 2023
In this paper, an efficient lattice Boltzmann model for the generalized Black-Scholes equation governing option pricing is proposed. The Black-Scholes equation is firstly equivalently transformed into an initial value problem for a partial differential ...
Fangfang Wu, Duoduo Xu, Ming Tian, Yingying Wang   +3 more
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Relativistic Black-Scholes model [PDF]

, 2016
Black-Scholes equation, after a certain coordinate transformation, is equivalent to the heat equation. On the other hand the relativistic extension of the latter, the telegraphers equation, can be derived from the Euclidean version of the Dirac equation.
Trzetrzelewski, Maciej
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Application of the Generalized Laplace Homotopy Perturbation Method to the Time-Fractional Black–Scholes Equations Based on the Katugampola Fractional Derivative in Caputo Type

Computation, 2021
In the finance market, the Black–Scholes equation is used to model the price change of the underlying fractal transmission system. Moreover, the fractional differential equations recently are accepted by researchers that fractional differential equations
Sirunya Thanompolkrang, Wannika Sawangtong, Panumart Sawangtong   +2 more
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Forecasting the behaviour of fractional Black-Scholes option pricing equation by laplace perturbation iteration algorithm

Alexandria Engineering Journal, 2023
Financial derivatives plays a major role in all financial deals these days. Black–Scholes option pricing model gives a risk free analysis for investing in options. In the current work, a method called the Laplace Perturbation Iteration Algorithm is being
Fareeha Sami Khan, Mariam Sultana, Muhammad Khalid, Faheem Zaidi, Kamsing Nonlaopon   +4 more
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PENENTUAN HARGA OPSI DAN NILAI HEDGE MENGGUNAKAN PERSAMAAN NON-LINEAR BLACK-SCHOLES

E-Jurnal Matematika, 2016
Option are contracts that give the right to sell and buy the asset at a price and a certain period of time. In addition investors use option as a means of hedge against asset owned.
PUTU AYU DENI, KOMANG DHARMAWAN, G. K. GANDHIADI   +2 more
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On the Generation of Infinitely Many Conservation Laws of the Black-Scholes Equation

Computation, 2020
Construction of conservation laws of differential equations is an essential part of the mathematical study of differential equations. In this paper we derive, using two approaches, general formulas for finding conservation laws of the Black-Scholes ...
Winter Sinkala
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