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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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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
semanticscholar +1 more source
Over‐the‐Counter Option Market Dividend Protection and “Biases” in the Black‐Scholes Model: A Note
The Journal of Finance, 1983ABSTRACTMost options are traded over‐the‐counter (OTC) and are dividend “protected;” the exercise price decreases on the ex date by an amount equal to the dividend. This protection completely inhibits the early exercise of American call options. Nevertheless, OTC‐protected options have market values which differ systematically from Black‐Scholes values
Geske, Robert +2 more
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Touchard wavelet technique for solving time-fractional Black–Scholes model
Computational and Applied Mathematics, 2022Farshid Nourian +3 more
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A fractional Black-Scholes model with stochastic volatility and European option pricing
Expert systems with applications, 2021Xin‐Jiang He, Sha Lin
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A compact quadratic spline collocation method for the time-fractional Black–Scholes model
Journal of Applied Mathematics and Computation, 2020Zhaowei Tian +3 more
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A regime switching fractional Black-Scholes model and European option pricing
Communications in nonlinear science & numerical simulation, 2020Sha Lin, Xin‐Jiang He
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