Results 11 to 20 of about 3,126,721 (184)
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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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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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 +3 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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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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Bayesian Analysis of the Black-Scholes Option Price [PDF]
, 2004 This paper investigates the statistical properties of the Black-Scholes option price under a Bayesian approach. We incorporate randomness, both in the price process and in volatility, to derive the prior and posterior densities of a European call option.
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Invariant solutions of the Black-Scholes equation [PDF]
, 2022 Dissertation (MSc (Applied Mathematics))--University of Pretoria, 2022.In this study, we discuss derivatives, Lie symmetries and invariant solutions of the Black Scholes equation.
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On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model
Mathematics, 2020 We consider the problem of pricing American options using the generalized Black–Scholes model. The generalized Black–Scholes model is a modified form of the standard Black–Scholes model with the effect of interest and consumption rates.
Jung-Kyung Lee
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