Results 71 to 80 of about 20,572,131 (220)
A Stochastic Tree for Bubble Asset Modelling and Pricing
Journal of Time Series Analysis, EarlyView.ABSTRACT We introduce a new stochastic tree representation of a strictly stationary submartingale process for modelling, forecasting, and pricing speculative bubbles on commodity and cryptocurrency markets. The model is compared to other trees proposed in the literature on bubble asset modelling and stochastic volatility approximation. We show that the
Christian Gourieroux, Joann Jasiak
wiley +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 +3 more
wiley +1 more source
MathematicsThis paper discusses finding solutions to the modified Fractional Black–Scholes equation. As is well known, the options theory is beneficial in the stock market.
Agus Sugandha +3 more
doaj +1 more source
Rough PDEs for Local Stochastic Volatility Models
Mathematical Finance, EarlyView.ABSTRACT In this work, we introduce a novel pricing methodology in general, possibly non‐Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics on the Brownian motion that drives the volatility, one obtains a time‐inhomogeneous Markov process. Using tools from rough path theory, we describe how to precisely
Peter Bank +3 more
wiley +1 more source
European Option Pricing of Fractional Black-Scholes Model Using Sumudu Transform and its Derivatives
, 2016 In this work an analytical solution of Fractional Black-Scholes European option pricing equation is solved.The analytical solution is based on Sumudu Transform and its differential and integral properties.The obtained solution is presented in the form of
W. Khan, Faryal Aijaz Ansari
semanticscholar +1 more source
A Pure Dual Approach for Hedging Bermudan Options
Mathematical Finance, EarlyView.ABSTRACT This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a “purely dual” algorithm following the spirit of Rogers in the sense that it only relies on the dual pricing formula.
Aurélien Alfonsi +2 more
wiley +1 more source
Partial Observability of Implied Volatility Matrices: Identification and Covolatilities Filtering
Mathematical Finance, EarlyView.ABSTRACT Whereas data on implied volatilities are available for a large number of assets, this is less frequently the case of implied covolatilities. We introduce a new approach based on static and dynamic Wishart models to solve this problem of missing data.
Christian Gouriéroux, Yang Lu
wiley +1 more source
Local Volatility Changes in the Black-Scholes Model [PDF]
, 2000 Hans‐Peter Bermin +1 more
openalex +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 +2 more
semanticscholar +1 more source
Restoration Ecology, EarlyView.Ongoing ecosystem degradation and loss demand restoration efforts worldwide. In Central Europe, semi‐natural grasslands are in focus, and better understanding of restoration success and its drivers is needed. For practical projects, systematic screening remains lacking.
Leonhard Sommer +6 more
wiley +1 more source