Results 71 to 80 of about 13,388 (185)
High order compact finite difference schemes for a nonlinear Black-Scholes equation [PDF]
A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized semi-implicitly using high order compact finite difference schemes. In particular, the compact schemes of Rigal are generalized.
Michel Fournié +2 more
core
Contingent capital: A tale of two valuations
Journal of Risk and Insurance, EarlyView.Abstract This study investigates the valuation gap between buyers and sellers of insurers' contingent capital, driven by asymmetric exposures to tax benefits, capital injections, and bankruptcy costs. We develop a novel Twin‐Tree Model with Jumps (TTMJ) that models the insurer's asset value dynamics by incorporating catastrophe risk, insolvency risk ...
Tian‐Shyr Dai +3 more
wiley +1 more source
Positivity Preserving Schemes for Black-Scholes Equation [PDF]
, 2015 Mathematical finance is a field of applied mathematics, concerned with financial markets. In the market of financial derivatives the most important problem is the so called option valuation problem, i.e. to compute a fair value for the option.
Jahandizi, Reza Shokri +1 more
core +1 more source
Random Walks, Brownian Motions, and The Black-Scholes Equation [PDF]
, 2021 An option gives the buyer the right to buy or sell an asset on an future date. Options are prominently used in the stock market and finding their value has been a question that have existed since Ancient Greece.
Jiheng Nie
core +1 more source
Abstract and Applied Analysis, 2013 An adaptive wavelet precise integration method (WPIM) based on the variational iteration method (VIM) for Black-Scholes model is proposed. Black-Scholes model is a very useful tool on pricing options.
Huahong Yan
doaj +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation [PDF]
A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs.
Michel Fournié +2 more
core
Greek parameters of nonlinear Black-Scholes equation [PDF]
, 2016 Derivatives are used in hedging European options against risks. The partial derivatives of the solution to either a variable or a parameter in the Black-Scholes model are called risk (Greek) parameters or simply the Greeks.
Esekon, Joseph E
core
Evaluation of Options using the Black-Scholes Methodology
Expert Journal of Economics, 2019 This paper discusses how to obtain the Black-Scholes equation to evaluate options and how to obtain explicit solutions for Call and Put. The Black-Scholes equation, which is the basis for determining explicit solutions for Call and Put, is a rather ...
Vasile BRĂTIAN
doaj
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source