Results 191 to 200 of about 20,840,101 (209)

A compact quadratic spline collocation method for the time-fractional Black–Scholes model

Journal of Applied Mathematics and Computation, 2020
Zhaowei Tian, S. Zhai, Haifeng Ji, Zhifeng Weng   +3 more
semanticscholar   +1 more source

A regime switching fractional Black-Scholes model and European option pricing

Communications in nonlinear science & numerical simulation, 2020
Sha Lin, Xin‐Jiang He
semanticscholar   +1 more source

A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model

Computational Economics, 2019
A. Golbabai, O. Nikan
semanticscholar   +1 more source

Numerically pricing double barrier options in a time-fractional Black-Scholes model

Computers and Mathematics with Applications, 2017
R. D. Staelen, A. Hendy
semanticscholar   +1 more source

Algorithm for Determining the Volatility Function in the Black–Scholes Model

Computational Mathematics and Mathematical Physics, 2019
V. Isakov, S. Kabanikhin, A. Shananin, M. Shishlenin, S. Zhang   +4 more
semanticscholar   +1 more source

A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing

Computational Economics, 2017
R. Kalantari, S. Shahmorad
semanticscholar   +1 more source

Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function

, 2018
F. Mehrdoust, A. Najafi
semanticscholar   +1 more source

Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model

Journal of Financial and Quantitative Analysis, 1989
M. Chesney, Louis O. Scott
semanticscholar   +1 more source

A computational method to price with transaction costs under the nonlinear Black–Scholes model

Chaos, Solitons & Fractals, 2019
Z. Al-Zhour, Mahdiar Barfeie, F. Soleymani, E. Tohidi   +3 more
semanticscholar   +1 more source

On the Consistency of the Black-Scholes Model with a General Equilibrium Framework

Journal of Financial and Quantitative Analysis, 1987
Avi Bick
semanticscholar   +1 more source