Results 101 to 110 of about 21,310,624 (228)

Local Volatility Changes in the Black-Scholes Model [PDF]

, 2000
Hans‐Peter Bermin, Arturo Kohatsu‐Higa   +1 more
openalex   +1 more source

Almost sure and moment stability properties of fractional order Black-Scholes model

, 2013
We deal with the stability problem of the fractional order Black-Scholes model driven by fractional Brownian motion (fBm). First, necessary and sufficient conditions are established for almost sure asymptotic stability and pth moment asymptotic stability
Caibin Zeng, YangQuan Chen, Qigui Yang
semanticscholar   +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, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market [PDF]

This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects European call option prices. The market is purely European and without dividends for the period studied. A CIR square-root process for
Byström , Hans
core  

Black-Scholes model under subordination

, 2011
In this paper we consider a new mathematical extension of the Black-Scholes model in which the stochastic time and stock share price evolution is described by two independent random processes.
A.A. Stanislavsky, Biasquie, Bingham, Black, Fox, Höpfner, Laskin, Mainardi, Mantega, Merton, Perelló, Skales, Sornette, Stanislavsky, Stanley, Wilmott, Young   +16 more
core   +1 more source

A Note on Numerical Solution of a Linear Black-Scholes Model

, 2014
Black-Scholes equation is a well known partial differential equation in financial mathematics. In this article we discuss about some solution methods for the Black Scholes model with the European options (Call and Put) analytically as well as numerically.
Md. Salah Uddin, Mostak Ahmed, Samir Kumar Bhowmilk   +2 more
semanticscholar   +1 more source

Weighted BMO and discrete time hedging within the Black-Scholes model [PDF]

, 2004
Stefan Geiß
openalex   +1 more source

Automated Statistical Model Discovery with Language Models [PDF]

arXiv
Statistical model discovery is a challenging search over a vast space of models subject to domain-specific constraints. Efficiently searching over this space requires expertise in modeling and the problem domain. Motivated by the domain knowledge and programming capabilities of large language models (LMs), we introduce a method for language model ...
arxiv  

Numerical Solution of Nonlinear Black – Scholes Equation by Accelerated Genetic Algorithm [PDF]

, 2015
In this paper we using an accelerated genetic algorithm to find the numerical solution of the nonlinear versions of the standard Black–Scholes partial differential equation  with stochastic volatility (transaction coast) for European call option .
Alrajhi, Yaseen Merzah, Hussain, Eman Ali   +1 more
core   +1 more source

Exploring Actions, Interactions and Challenges in Software Modelling Tasks: An Empirical Investigation with Students [PDF]

arXiv
Background: Software modelling is a creative yet challenging task. Modellers often find themselves lost in the process, from understanding the modelling problem to solving it with proper modelling strategies and modelling tools. Students learning modelling often get overwhelmed with the notations and tools.
arxiv