Results 31 to 40 of about 23,860,994 (221)

A New Approach for the Black–Scholes Model with Linear and Nonlinear Volatilities

Mathematics, 2019
Since financial engineering problems are of great importance in the academic community, effective methods are still needed to analyze these models. Therefore, this article focuses mainly on capturing the discrete behavior of linear and nonlinear Black ...
S. Gulen, C. Popescu, Murat Sari
semanticscholar   +1 more source

Lattice Boltzmann Method for the Generalized Black-Scholes Equation

Advances in Mathematical Physics, 2023
In this paper, an efficient lattice Boltzmann model for the generalized Black-Scholes equation governing option pricing is proposed. The Black-Scholes equation is firstly equivalently transformed into an initial value problem for a partial differential ...
Fangfang Wu, Duoduo Xu, Ming Tian, Yingying Wang   +3 more
doaj   +1 more source

PENENTUAN KONTRAK OPSI TIPE EROPA MENGGUNAKAN MODEL SIMULASI VARIANCE GAMMA (VG)

E-Jurnal Matematika, 2023
Options are used as a hedge against stock price uncertainty brought on by unstable stock prices fluctuation. The price of an option contract can be determined using a variety of approaches, one of which is the Variance Gamma. The purpose of this study is
NI KADEK LANI PITRAYANI, KOMANG DHARMAWAN, I NYOMAN WIDANA   +2 more
doaj   +1 more source

The Role of Price‐Volatility Cojumps in Volatility Forecasting

Journal of Futures Markets, EarlyView.
ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley   +1 more source

A Study on Numerical Solution of Black-Scholes Model

, 2018
In the history of option pricing, Black-Scholes model is one of the most significant models. In this article, the main concern is the numerical solution of the Black-Scholes model (a.k.a.
M. N. Anwar, L. S. Andallah
semanticscholar   +1 more source

Improving Implied Volatility Forecasts for American Options Using Neural Networks

Journal of Futures Markets, EarlyView.
ABSTRACT This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market‐implied and model‐implied volatilities derived from the Black‐Scholes and Heston
Haitong Jiang, Emese Lazar, Miriam Marra
wiley   +1 more source

Convergence Numerically of Trinomial Model in European Option Pricing

International Research Journal of Business Studies, 2013
A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price.
Entit Puspita, Fitriani Agustina, Ririn Sispiyati   +2 more
doaj   +1 more source

Gambling and Substance Use: Early Evidence From Sports Betting Laws

Health Economics, EarlyView.
ABSTRACT Previous research documents a strong association between gambling and substance use, suggesting that these seemingly distinct behaviors may share similar environmental, neurobiological, and genetic causes. However, there is a dearth of credible empirical evidence on whether gambling has a causal impact on substance use or vice versa.
Kabir Dasgupta, Keshar Ghimire
wiley   +1 more source

Qualitative financial modelling in fractal dimensions

Financial Innovation
The Black–Scholes equation is one of the most important partial differential equations governing the value of financial derivatives in financial markets. The Black–Scholes model for pricing stock options has been applied to various payoff structures, and
Rami Ahmad El-Nabulsi, Waranont Anukool
doaj   +1 more source

A New Homotopy Transformation Method for Solving the Fuzzy Fractional Black–Scholes European Option Pricing Equations under the Concept of Granular Differentiability

Fractal and Fractional, 2022
The Black–Scholes option pricing model is one of the most significant achievements in modern investment science. However, many factors are constantly fluctuating in the actual financial market option pricing, such as risk-free interest rate, stock price,
Jianke Zhang, Yueyue Wang, Sumei Zhang
doaj   +1 more source