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A Novel Fourth-Order Finite Difference Scheme for European Option Pricing in the Time-Fractional Black–Scholes Model

Xin Cai, Yihong Wang
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Identification of a Monovalent Pseudo-Natural Product Degrader Class Supercharging Degradation of IDO1 by its native E3 KLHDC3

Hennes E, Lucas B, Scholes NS, Cheng X, Scott DC, Bischoff M, Reich K, Gasper R, Lucas M, Xu TT, Pulvermacher L, Dötsch L, Imrichova H, Brause A, Naredla KR, Sievers S, Kumar K, Janning P, Gersch M, Murray PJ, Schulman BA, Winter GE, Ziegler S, Waldmann H.   +23 more
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The mechanism of charge transfer between quantum dots and redox molecules

Vogel Y, Boeije W, Steekelenburg Lv, Vollebregt D, Ubbink R, Chen H, Younesi A, Ulbricht R, Jager W, Grozema F, Houtepen A.   +10 more
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Design and analysis of a high order computational technique for time‐fractional Black–Scholes model describing option pricing

Mathematical methods in the applied sciences, 2022
This work deals with the construction and analysis of a high‐order computational scheme for a time‐fractional Black‐Scholes model that governs the European option pricing. The time‐fractional derivative is considered in the sense of Caputo and the L1 − 2
P. Roul
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The modified Black-Scholes model via constant elasticity of variance for stock options valuation

, 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 price ...
S. Edeki, E. A. Owoloko, O. Ugbebor
semanticscholar   +1 more source

Calibration of the Local Volatility in a Generalized Black-Scholes Model Using Tikhonov Regularization

SIAM Journal on Mathematical Analysis, 2003
Following an approach introduced by Lagnado and Osher [J. Comput. Finance, 1 (1) (1997), pp. 13--25], we study Tikhonov regularization applied to an inverse problem important in mathematical finance, that of calibrating, in a generalized Black--Scholes ...
S. Crépey
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The Convergence Analysis of the Numerical Calculation to Price the Time-Fractional Black–Scholes Model

Computational Economics, 2022
H. Mesgarani, M. Bakhshandeh, Y. E. Aghdam, J. F. Gómez‐Aguilar   +3 more
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The Calculation of Implied Variances from the Black‐Scholes Model: A Note

, 1982
BLACK AND SCHOLES [2] HAVE derived a model for the equilibrium price of a European Stock Purchase option. According to the Black and Scholes model, equilibrium option prices are a function of the time to maturity of the option, the exercise price, the ...
Steven Manaster, G. J. Koehler
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Numerical Approximation to a Variable-Order Time-Fractional Black–Scholes Model with Applications in Option Pricing

Computational Economics, 2022
Meihui Zhang, Xiangcheng Zheng
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