Results 91 to 100 of about 32,934 (189)
The exact traveling wave solutions of a class of generalized Black-Scholes equation
AIMS Mathematics, 2017 In this paper, the traveling wave solutions of a class of generalized Black-Scholes equation are considered. By using the first integral method and the G'/G-expansion method, several exact traveling wave solutions of the equation are obtained.
Weiping Gao, Yanxia Hu
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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.
Bohner, Martin, Zheng, Yao
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Option Pricing in a Fractional Brownian Motion Environment [PDF]
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian ...
Cipian Necula
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Vulnerable options pricing under uncertain volatility model
Journal of Inequalities and Applications, 2019 In this paper, we consider the pricing problem of options with counterparty default risks. We study the asymptotic behavior of vulnerable option prices in the worst case scenario under an uncertain volatility model which contains both corporate assets ...
Qing Zhou, Xiaonan Li
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Numerický model oceňování evropské kupní opce [PDF]
, 2010 In this paper a mathematical model of European call options prizing is presented. This model is based on reduced Black-Scholes partial differential equation, discretized employing the finite difference method. The results of this model and of the exact
Seinerová, Kateřina
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The Black-Scholes Equation and Certain Quantum Hamiltonians
, 2010 10 pages, no figures, some important changes were maked. An author was added.
Romero, Juan M. +3 more
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Discrete Dynamics in Nature and Society, 2016 We investigate the accurate computations for the Greeks using the numerical solutions of the Black-Scholes partial differential equation. In particular, we study the behaviors of the Greeks close to the maturity time and in the neighborhood around the ...
Darae Jeong, Minhyun Yoo, Junseok Kim
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The Riccati System and a Diffusion-Type Equation
Mathematics, 2014 We discuss a method of constructing solutions of the initial value problem for diffusion-type equations in terms of solutions of certain Riccati and Ermakov-type systems. A nonautonomous Burgers-type equation is also considered. Examples include, but are
Erwin Suazo +2 more
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On CAPM and Black-Scholes, differing risk-return strategies [PDF]
In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H. +1 more
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Spreadsheets in Education, 2019 The derivation of the Black-Scholes option pricing model, if covered in detail, is by far the most complicated among all major models in the finance curriculum.
Clarence C. Y. Kwan
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