Results 31 to 40 of about 32,884 (141)
The Quantum Black-Scholes Equation [PDF]
, 2006 Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus.
Accardi, Luigi, Boukas, Andreas
core +1 more source
Systems Research and Behavioral Science, EarlyView.ABSTRACT This study investigates the relationship between cybersecurity capabilities (CCs) and cybersecurity performance (CP) across diverse regional contexts, employing ordinary least squares (OLS) and random forest (RF) regression models. The research highlights how economic, political and cultural factors shape CCs and their impact on CP ...
Angélica Pigola +2 more
wiley +1 more source
Appearances of pseudo-bosons from Black-Scholes equation
, 2016 It is a well known fact that the Black-Scholes equation admits an alternative representation as a Schr\"odinger equation expressed in terms of a non self-adjoint hamiltonian. We show how {\em pseudo-bosons}, linear or not, naturally arise in this context,
Bagarello, Fabio
core +1 more source
Below the leaves: Integrating above‐ and below‐ground phenology for earth‐system predictability
Functional Ecology, EarlyView.Read the free Plain Language Summary for this article on the Journal blog. Abstract Almost every aspect of biological systems has phenology—a pattern in activity or function linked to annual cycles. Most terrestrial phenology research focusses on leaves, the onset of leaf out or senescence.
Kendalynn Morris, Richard Nair
wiley +1 more source
Long memory stochastic volatility in option pricing
, 2004 The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range dependence.
Fedotov, Sergei, Tan, Abby
core +4 more sources
Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform [PDF]
, 2013 The homotopy perturbation method, Sumudu transform, and He’s polynomials are combined to obtain the solution of fractional Black-Scholes equation. The fractional derivative is considered in Caputo sense.
Elbeleze, Asma Ali +2 more
core +3 more sources
The effect of addback statutes on CEO compensation
Accounting &Finance, Volume 65, Issue 1, Page 793-818, March 2025.Abstract Exploiting the adoption of addback statutes, which occurred at different times, as exogenous shocks to corporate taxable income, we examine the effect of tax policy changes on the compensation of chief executive officers (CEOs). We provide evidence that CEOs of firms headquartered in states affected by addback statutes experienced a decrease ...
Karel Hrazdil +3 more
wiley +1 more source
Optimal hedging of Derivatives with transaction costs
, 2005 We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction).
Avellaneda M. +4 more
core +3 more sources
Race‐related research in economics
Economica, EarlyView.Abstract Issues of racial justice and economic inequalities between racial and ethnic groups have risen to the top of public debate. Economists' ability to contribute to these debates is based on the body of race‐related research. We study the volume and content of race‐related research in economics.
Arun Advani +4 more
wiley +1 more source
A family of positive nonstandard numerical methods with application to Black-Scholes equation [PDF]
Sahand Communications in Mathematical Analysis, 2017 Nonstandard finite difference schemes for the Black-Scholes partial differential equation preserving the positivity property are proposed. Computationally simple schemes are derived by using a nonlocal approximation in the reaction term of the Black ...
Mohammad Mehdizadeh Khalsaraei +1 more
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