Results 61 to 70 of about 32,884 (141)

Application of Microlocal Analysis to an Inverse Problem Arising from Financial Markets [PDF]

, 2014
One of the most interesting problems discerned when applying the Black--Scholes model to financial derivatives, is reconciling the deviation between expected and observed values.
Doi, Shin-ichi, Ota, Yasushi
core  

Symmetry reduction and exact solutions of the non-linear Black--Scholes equation

, 2018
In this paper, we investigate the non-linear Black--Scholes equation: $$u_t+ax^2u_{xx}+bx^3u_{xx}^2+c(xu_x-u)=0,\quad a,b>0,\ c\geq0.$$ and show that the one can be reduced to the equation $$u_t+(u_{xx}+u_x)^2=0$$ by an appropriate point transformation ...
Kovalenko, Sergii, Patsiuk, Oleksii
core   +1 more source

Multithread Approximation: An OpenMP Constructor

Concurrency and Computation: Practice and Experience, Volume 38, Issue 4, February 2026.
ABSTRACT This study introduces an OpenMP construct designed to simplify and unify the integration of approximate computing techniques into shared‐memory parallel programs. Approximate Computing leverages the inherent error tolerance of many applications to trade computational accuracy for gains in performance and energy efficiency.
João Briganti de Oliveira, Rogério Aparecido Gonçalves, João Fabrício Filho   +2 more
wiley   +1 more source

Solving the general form of the fractional Black–Scholes with two assets through Reconstruction Variational Iteration Method

Results in Applied Mathematics
The objective of this study is to examine the dynamic components of option pricing in the European put option market by utilizing the two-dimensional time fractional-order Black–Scholes equation.
Mohammad Hossein Akrami, Abbas Poya, Mohammad Ali Zirak   +2 more
doaj   +1 more source

Dynamic Debt With Intensity‐Based Models

Journal of Futures Markets, Volume 46, Issue 2, Page 334-352, February 2026.
ABSTRACT This article proposes a dynamic debt model where the face value of debt can change. In particular, our dynamic debt setting allows debt changes ruled by intensity processes that are linked to the firm value through the correlation between the stochastic processes. Analytical solutions are obtained, and we extend the proposed dynamic debt model
João Miguel Reis, José Carlos Dias
wiley   +1 more source

On properties of solutions to Black–Scholes–Barenblatt equations

Advances in Difference Equations, 2019
This paper is concerned with the Black–Scholes–Barenblatt equation ∂tu+r(x∂xu−u)+G(x2∂xxu)=0 $\partial _{t}u+r(x\partial _{x}u-u)+G(x^{2}\partial _{xx}u)=0$, where G(α)=12(σ‾2−σ_2)|α|+12(σ‾2+σ_2)α $G(\alpha )=\frac{1}{2}(\overline{\sigma}^{2}-\underline{\
Xinpeng Li, Yiqing Lin, Weicheng Xu
doaj   +1 more source

Memory in the Black-Scholes model [PDF]

, 1997
The evolution in time of European options is usually studied using the Black-Scholes formula. This formula is obtained from the equivalence between the Black-Scholes equation and a heat equation.
Ferreira, J. A., Oliveira, P. de
core   +1 more source

N2 fixation is linked to the ability to encroach in African savanna trees

Functional Ecology, Volume 40, Issue 2, Page 517-533, February 2026.
Read the free Plain Language Summary for this article on the Journal blog. Abstract Encroachment is a globally ubiquitous phenomenon, characterised by increasing indigenous tree densities in savanna and grassland. Encroachment has been attributed to rising atmospheric CO2 concentrations fertilising tree growth and shifting the competitive balance ...
Elizabeth M. Telford, Kimberley Simpson, Lorna Street, Emily Fletcher, Richard Carkeek, Russell B. Dixon, Katie J. Field, Emma Jones, Sarah L. Raubenheimer, Edith Singini, Brad Ripley, Colin P. Osborne, Caroline E. R. Lehmann   +12 more
wiley   +1 more source

Enterprise Data Valuation—A Targeted Literature Review

Journal of Economic Surveys, Volume 40, Issue 1, Page 73-92, February 2026.
ABSTRACT As digital transformation redefines business models, enterprise value increasingly depends on intangible assets, especially data, rather than traditional physical assets like buildings and equipment. Traditional accounting has long focused on valuing physical assets based on their anticipated future economic benefits, distinguishing between ...
Sai Krishnan Mohan, Gnana Bharathy, Akanksha Jalan   +2 more
wiley   +1 more source

Supply chain risk in grain trading: Inventories as real options for shipping grain

Agribusiness, Volume 42, Issue 1, Page 175-195, Winter 2026.
Abstract Integrating trading and logistics is an important challenge in commodity trading. Trading and logistics are strategic decisions and are integral to most commodities including grain shipping by rail, in addition to other modes (barges, ocean shipping). There are substantial risks, such as the ordering and placement of rail cars.
William W. Wilson, Jesse Klebe
wiley   +1 more source