Results 11 to 20 of about 13,388 (185)
Lattice Boltzmann Method for the Generalized Black-Scholes Equation [PDF]
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 +3 more
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Solving the Black-Scholes Partial Differential Equation via the Solution Method for a One-Dimensional Heat Equation: A Pedagogic Approach with a Spreadsheet-Based Illustration [PDF]
Spreadsheets in Education, 2019 The derivation of the Black-Scholes option pricing model, if covered in detail, is by far the most complicated among all major models in the finance curriculum.
Clarence C. Y. Kwan
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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
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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 +2 more
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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 +2 more
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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 +4 more
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Solution to a nonlinear Black-Scholes equation [PDF]
Electronic Journal of Differential Equations, 2011 Option pricing with transaction costs leads to a nonlinear Black-Scholes type equation where the nonlinear term reflects the presence of transaction costs. Under suitable conditions, we prove the existence of weak solutions in a bounded domain and we
Maria Cristina Mariani +2 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 +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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Lie Symmetries Of The Black-Scholes Equation [PDF]
, 2010 In this paper symmetry expansions for Black-Scholes equation are studied. Differently then the other studies in the literaTurkishe for Black-Scholes equation, we expanded the equation into a parametric form by adding a coefficient a.
Polat, R.
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