Results 1 to 10 of about 79,639 (196)
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.
Accardi, Luigi, Boukas, Andreas
core +5 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 ...
Endang Rusyaman, Ema Carnia
exaly +2 more sources
Control of the Black–Scholes equation
Computers and Mathematics With Applications, 2017 There are hundreds of papers dealing with the Black-Scholes equation. Yet, no one seems to have ever used the scaling invariance coming from the heat equation. And there appears to be very few studies on the "control aspect" of the equation. In previous works, J.Y. Chemin and Cl.
Claire David
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On analytical solutions of the Black–Scholes equation
Applied Mathematics Letters, 2009 This paper shows a theoretical way of finding the analytical solution of the Black-Scholes quation under a given terminal condition. The main technique is based on the Adomian approximate decomposition. The authors also claim its effectiveness to solve some other related problems in finance theory.
Martin Bohner
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Symmetry reduction and exact solutions of the non-linear Black–Scholes equation
Communications in Nonlinear Science and Numerical Simulation, 2018 In this paper, we investigate the non-linear Black--Scholes equation: $$u_t+ax^2u_{xx}+bx^3u_{xx}^2+c(xu_x-u)=0,\quad a,b>0,\ c\geq0.$$ and show that the one can be reduced to the equation $$u_t+(u_{xx}+u_x)^2=0$$ by an appropriate point transformation ...
Sergiĭ Kovalenko
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Relativistic Black–Scholes Equation
Revista Mexicana de Economía y FinanzasThe Relativistic Black Scholes Model presented in this paper is a generalization that is not very well known since the original version of 1973, because its effects are still not very significant. Actually, any small advantage in information knowledge in the High-Frequency Trading can become great arbitrage opportunities.
Guillermo Sierra Juárez
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Group classification of a generalized Black–Scholes–Merton equation [PDF]
Communications in Nonlinear Science and Numerical Simulation, 2014 25 ...
S Dimas
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A new direct method for solving the Black–Scholes equation
Applied Mathematics Letters, 2005 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
L Jódar, Pablo Sevilla-Peris
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On the Interconnectedness of Schrodinger and Black-Scholes Equation
Journal of Applied Mathematics and Physics, 2015 The following paper tries to derive a Black-Scholes equation by using tools of quantum physics pertaining in that sense to Hamiltonian operator, path integrals, completeness equation, introducing ket and bra vectors. Schrodinger Hamiltonian is presented and compared to Black-Scholes-Schrodinger Hamiltonian. Similarity was demonstrated and it was proved
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Forecasting stock options prices via the solution of an ill-posed problem for the Black–Scholes equation [PDF]
Inverse Problems, 2022 In the previous paper (2016 Inverse Problems 32 015010), a new heuristic mathematical model was proposed for accurate forecasting of prices of stock options for 1–2 trading days ahead of the present one. This new technique uses the Black–Scholes equation
M. Klibanov +3 more
semanticscholar +1 more source