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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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Fractional Black–Scholes equation [PDF]
, 2017 In this paper, it has been shown that the combined use of exponential operators and special functions provides a powerful tool to solve certain class of generalized space fractional Laguerre heat equation.
A. Aghili
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Alexandria Engineering Journal, 2023 Trivially, the time-fractional Black–Scholes (FBS) equation is utilized to describe the behavior of the option pricing in financial markets. This work is intended as an attempt to introduce the ψ-Hilfer fractional Black–Scholes (ψ-HFBS) equation.
F. Mohammadizadeh +4 more
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Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing
Advances in Mathematical Physics, 2015 A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonliner generalised Black-Scholes equation and the classical Black-Scholes equation, is studied using Lie symmetry analysis.
Winter Sinkala, Tembinkosi F. Nkalashe
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Lie symmetry analysis of a fractional Black-Scholes equation [PDF]
, 2019 In 2000, Walter Wyss looked into the fractional version of the Black-Scholes equation for the first time. He gave a solution of the fractional Black-Scholes equation by using the Greens function [14].
O'Hara, John G +3 more
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Relativistic Black–Scholes Equation [PDF]
Ecuación Black-Scholes relativistaEl modelo de Black Scholes presentado en este trabajo es una generalización a la versión relativista que no es muy conocida desde a la versión original de 1973, debido a que sus efectos aún son poco significativos. En el
Sierra Juárez, Guillermo
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On the solution of two-dimensional fractional Black–Scholes equation for European put option
Advances in Difference Equations, 2020 The purpose of this paper was to investigate the dynamics of the option pricing in the market through the two-dimensional time fractional-order Black–Scholes equation for a European put option.
Din Prathumwan, Kamonchat Trachoo
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Risks, 2023 This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate.
Jussi Lindgren
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Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach
Entropy, 2020 This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory.
Jussi Lindgren
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