Results 1 to 10 of about 23,860,952 (179)

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   +2 more sources

The Modified Black-Scholes Model via Constant Elasticity of Variance for Stock Options Valuation [PDF]

, 2016
In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock ...
Edeki, S.O., Owoloko, E. A., Ugbebor, Olabisi O.   +2 more
core   +2 more sources

Analytical and Numerical Solution for the Time Fractional Black-Scholes Model Under Jump-Diffusion

Computational Economics, 2023
In this work, we study the numerical solution for time fractional Black-Scholes model under jump-diffusion involving a Caputo differential operator. For simplicity of the analysis, the model problem is converted into a time fractional partial integro ...
J. Mohapatra, S. Santra, H. Ramos
semanticscholar   +1 more source

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

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

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

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

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

A weighted finite difference method for subdiffusive Black Scholes Model [PDF]

Computers and Mathematics with Applications, 2019
In this paper we focus on the subdiffusive Black Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in the considered model.
G. Krzyzanowski, M. Magdziarz, Lukasz Plociniczak   +2 more
semanticscholar   +1 more source