Results 1 to 10 of about 31,684 (198)

Relativistic Black-Scholes Model [PDF]

SSRN Electronic Journal, 2013
Black-Scholes equation, after a certain coordinate transformation, is equivalent to the heat equation. On the other hand the relativistic extension of the latter, the telegraphers equation, can be derived from the Euclidean version of the Dirac equation.
Trzetrzelewski, Maciej
openaire   +4 more sources

The Quantum Black-Scholes Equation [PDF]

, 2006
Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus. Our model includes stock markets described by quantum Brownian motion and Poisson process.
ACCARDI, LUIGI, Boukas, A.
openaire   +6 more sources

A New Solution to the Fractional Black–Scholes Equation Using the Daftardar-Gejji Method

Mathematics, 2023
The main objective of this study is to determine the existence and uniqueness of solutions to the fractional Black–Scholes equation. The solution to the fractional Black–Scholes equation is expressed as an infinite series of converging Mittag-Leffler ...
Agus Sugandha, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +1 more source

An Analysis of the Fractional-Order Option Pricing Problem for Two Assets by the Generalized Laplace Variational Iteration Approach

Fractal and Fractional, 2022
An option is the right to buy or sell a good at a predetermined price in the future. For customers or financial companies, knowing an option’s pricing is crucial.
Sivaporn Ampun, Panumart Sawangtong, Wannika Sawangtong   +2 more
doaj   +1 more source

Option pricing by Nikivorou-Ovarov differential resolution method [PDF]

فصلنامه بورس اوراق بهادار, 2021
The Black-Scholes pricing theory is one of the most important ways of valuating transaction options. This equation is used to pricing a variety of European options.
mehdi abvali, maryam khaliliaraghi, hasan hasanabadi, ahmad yaghobnezhad   +3 more
doaj   +1 more source

The Adomian Decomposition Method for Standard Power Options

Ratio Mathematica, 2022
Black-Scholes model derived by Black and Scholes is worldwide used mathematical model for valuing option price. This model brings a new quantitative approach for researcher to finding theoretical values of options.
Sanjay J. Ghevariya
doaj   +1 more source

The Role of the Volatility in the Option Market

AppliedMath, 2023
We review some general aspects about the Black–Scholes equation, which is used for predicting the fair price of an option inside the stock market. Our analysis includes the symmetry properties of the equation and its solutions.
Ivan Arraut, Ka-I Lei
doaj   +1 more source

PENENTUAN HARGA OPSI TIPE EROPA DENGAN MENGGUNAKAN MODEL BLACK SCHOLES FRAKSIONAL

Jurnal Matematika UNAND, 2020
Harga opsi tipe Eropa dapat ditentukan dengan model Black Scholes fraksional dengan waktu jatuh tempo dapat difraksional menggunakan parameter Hurst.
FITRI SABRINA, DODI DEVIANTO, FERRA YANUAR   +2 more
doaj   +1 more source

Perbandingan Metode Binomial dan Metode Black-Scholes Dalam Penentuan Harga Opsi

Sainsmat, 2016
ABSTRAK Opsi adalah kontrak antara pemegang dan penulis  (buyer (holder) dan seller (writer)) di mana penulis (writer) memberikan hak (bukan kewajiban) kepada holder untuk membeli atau menjual aset dari writer pada harga tertentu (strike atau latihan ...
Surya Amami Pramuditya
doaj   +3 more sources

Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options

Borsa Istanbul Review, 2022
This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches.
Zeynep İltüzer
doaj   +1 more source