Results 91 to 100 of about 32,893 (190)
Memory in the Black-Scholes model [PDF]
, 1997 The evolution in time of European options is usually studied using the Black-Scholes formula. This formula is obtained from the equivalence between the Black-Scholes equation and a heat equation.
Ferreira, J. A., Oliveira, P. de
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Urban and Power Plant NOx Emissions in Sub‐Saharan Africa Inferred From TROPOMI
Journal of Geophysical Research: Atmospheres, Volume 131, Issue 4, 28 February 2026.Abstract Nitrogen oxides (NOx) emissions are increasing rapidly in Sub‐Saharan Africa, affecting local air quality. Outside South Africa, most hotspots are relatively small, posing a challenge for traditional top‐down inversions. We tailor an existing top‐down wind rotation and Gaussian plume fit inversion to suit the relatively small NOx hotspots for ...
Eloise A. Marais +6 more
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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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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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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 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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AxiomsThis paper explores the implications of modifying the canonical Heisenberg commutation relations over two simple systems, such as the free particle and the tunnel effect generated by a step-like potential.
Mauricio Contreras González +2 more
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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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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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