Results 1 to 10 of about 21,301,584 (267)

On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model [PDF]

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
doaj   +3 more sources

An interval version of Black–Scholes European option pricing model and its numerical solution

Results in Applied Mathematics
The Black–Scholes model, a powerful tool for valuation of equity options specially European equity options, is based on assumptions that are violated in some situations due to market realities.
S. Zangoei Zadeh, M. Azizian, M. Sarvari
doaj   +2 more sources

The Adomian Decomposition Method for Standard Power Options

Ratio Mathematica, 2022
Black-Scholes model derived by Black and Scholes is worldwide used mathematical model for valuing option price. This model brings a new quantitative approach for researcher to finding theoretical values of options.
Sanjay J. Ghevariya
doaj   +1 more source

A New Solution to the Fractional Black–Scholes Equation Using the Daftardar-Gejji Method

Mathematics, 2023
The main objective of this study is to determine the existence and uniqueness of solutions to the fractional Black–Scholes equation. The solution to the fractional Black–Scholes equation is expressed as an infinite series of converging Mittag-Leffler ...
Agus Sugandha, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +1 more source

Option pricing by Nikivorou-Ovarov differential resolution method [PDF]

فصلنامه بورس اوراق بهادار, 2021
The Black-Scholes pricing theory is one of the most important ways of valuating transaction options. This equation is used to pricing a variety of European options.
mehdi abvali, maryam khaliliaraghi, hasan hasanabadi, ahmad yaghobnezhad   +3 more
doaj   +1 more source

PENENTUAN HARGA OPSI TIPE EROPA DENGAN MENGGUNAKAN MODEL BLACK SCHOLES FRAKSIONAL

Jurnal Matematika UNAND, 2020
Harga opsi tipe Eropa dapat ditentukan dengan model Black Scholes fraksional dengan waktu jatuh tempo dapat difraksional menggunakan parameter Hurst.
FITRI SABRINA, DODI DEVIANTO, FERRA YANUAR   +2 more
doaj   +1 more source

Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options

Borsa Istanbul Review, 2022
This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches.
Zeynep İltüzer
doaj   +1 more source

Perbandingan Metode Binomial dan Metode Black-Scholes Dalam Penentuan Harga Opsi

Sainsmat, 2016
ABSTRAK Opsi adalah kontrak antara pemegang dan penulis  (buyer (holder) dan seller (writer)) di mana penulis (writer) memberikan hak (bukan kewajiban) kepada holder untuk membeli atau menjual aset dari writer pada harga tertentu (strike atau latihan ...
Surya Amami Pramuditya
doaj   +3 more sources

An Analysis of the Fractional-Order Option Pricing Problem for Two Assets by the Generalized Laplace Variational Iteration Approach

Fractal and Fractional, 2022
An option is the right to buy or sell a good at a predetermined price in the future. For customers or financial companies, knowing an option’s pricing is crucial.
Sivaporn Ampun, Panumart Sawangtong, Wannika Sawangtong   +2 more
doaj   +1 more source

Studying a Tumor Growth Partial Differential Equation via the Black–Scholes Equation

Computation, 2020
Two equations are considered in this paper—the Black–Scholes equation and an equation that models the spatial dynamics of a brain tumor under some treatment regime. We shall call the latter equation the tumor equation.
Winter Sinkala, Tembinkosi F. Nkalashe
doaj   +1 more source