Results 51 to 60 of about 13,388 (185)

The Role of Index Fund Ownership in the Era of Say‐on‐Pay

Financial Management, EarlyView.
ABSTRACT We examine whether and how index funds influence executive compensation in the post‐Say‐on‐Pay era. Using the annual reconstitution of the Russell indexes as a source of exogenous variation in index fund ownership, we document a causal effect of index ownership on CEO pay structure.
Kiseo Chung, Hwanki Brian Kim
wiley   +1 more source

A Comparative Review of Specification Tests for Diffusion Models

International Statistical Review, EarlyView.
Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez, D. Diz‐Castro, M. Febrero‐Bande, W. González‐Manteiga   +3 more
wiley   +1 more source

The Quantum Black-Scholes equation [PDF]

, 2006
Motivated by the work of Segal and Segal in \cite{5} 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, L, Boukas, A., Boukas, A, ACCARDI, LUIGI   +3 more
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Finite Elements Solutions to the Black - Scholes Equation [PDF]

, 2020
Nowadays, for the financial industry it is important to implement mathematical tools of the advanced level. World’s well-known economists Fischer Black and Myron Scholes introduced the distinguished equation for option pricing in 1973.
Zhanatova, Nazym
core  

An adaptive moving mesh method for a time-fractional Black–Scholes equation

Advances in Difference Equations, 2019
In this paper we study the numerical method for a time-fractional Black–Scholes equation, which is used for option pricing. The solution of the fractional-order differential equation may be singular near certain domain boundaries, which leads to ...
Jian Huang, Zhongdi Cen, Jialiang Zhao
doaj   +1 more source

The modified homotopy perturbation method and its application to the dynamics of price evolution in Caputo-fractional order Black Scholes model

Beni-Suef University Journal of Basic and Applied Sciences, 2023
Background Following a financial loss in trades due to lack of risk management in previous models from market practitioners, Fisher Black and Myron Scholes visited the academic setting and were able to mathematically develop an option pricing equation ...
Adedapo Ismaila Alaje, Morufu Oyedunsi Olayiwola, Kamilu Adewale Adedokun, Joseph Adeleke Adedeji, Asimiyu Olamilekan Oladapo, Yunus Olanrewaju Akeem   +5 more
doaj   +1 more source

Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function

International Statistical Review, EarlyView.
Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler, Denis Belomestny, Simos George Meintanis, Emanuele Taufer   +3 more
wiley   +1 more source

Lie Symmetries of (1+2) Nonautonomous Evolution Equations in Financial Mathematics

Mathematics, 2016
We analyse two classes of ( 1 + 2 ) evolution equations which are of special interest in Financial Mathematics, namely the Two-dimensional Black-Scholes Equation and the equation for the Two-factor Commodities Problem. Our approach is that of Lie
Andronikos Paliathanasis, Richard M. Morris, Peter G. L. Leach   +2 more
doaj   +1 more source

CEO Narcissism and Related Party Transactions

Journal of Business Finance &Accounting, EarlyView.
ABSTRACT We examine the association between CEO narcissism and the likelihood of engaging in related party transactions (RPTs) and its influence on the value implications of these transactions. Furthermore, we investigate the effect of board monitoring on the relationship between CEO narcissism and the value effects of RPTs. We find that CEO narcissism
Anwer S. Ahmed, Bilal Al‐Dah, Mustafa A. Dah, Moataz El‐Helaly   +3 more
wiley   +1 more source

The black-Scholes formula and the Greek parameters for a nonlinear Black-Scholes equation [PDF]

, 2016
We study the Greek (risk) parameters of a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction costs. These parameters are derived from the Black-Scholes formula of the nonlinear Black-Scholes equation
Esekon, Joseph E
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