Results 101 to 110 of about 32,934 (189)

Modified Heisenberg Commutation Relations, Free Schrödinger Equations, Tunnel Effect and Its Connections with the Black–Scholes Equation

Axioms
This 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, Roberto Ortiz Herrera, José González Suárez   +2 more
doaj   +1 more source

Lie Symmetry Analysis of a Nonlinear Black–Scholes Equation in Illiquid Markets

International Journal of Mathematics and Mathematical Sciences
We have conducted comprehensive Lie symmetry analysis of a nonlinear Black–Scholes equation that arises in illiquid markets. The equation incorporates nonlinearities arising from market constraints, such as transaction costs and liquidity effects.
Winter Sinkala
doaj   +1 more source

Ulam-Hyers stability of a parabolic partial differential equation

Demonstratio Mathematica, 2019
The goal of this paper is to give an Ulam-Hyers stability result for a parabolic partial differential equation. Here we present two types of Ulam stability: Ulam-Hyers stability and generalized Ulam-Hyers-Rassias stability.
Marian Daniela, Ciplea Sorina Anamaria, Lungu Nicolaie   +2 more
doaj   +1 more source

The Pricing of Derivatives on Assets with Quadratic Volatility [PDF]

The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees
Christian Zühlsdorff
core  

A Linear Algorithm for Black Scholes Economic Model [PDF]

The pricing of options is a very important problem encountered in financial domain. The famous Black-Scholes model provides explicit closed form solution for the values of certain (European style) call and put options.
Dumitru FANACHE, Ion SMEUREANU
core  

Revisiting Black–Scholes: A Smooth Wiener Approach to Derivation and a Self-Contained Solution

Mathematics
This study presents a self-contained derivation and solution of the Black and Scholes partial differential equation (PDE), replacing the standard Wiener process with a smoothed Wiener process, which is a differentiable stochastic process constructed via ...
Alessandro Saccal, Andrey Artemenkov
doaj   +1 more source

Parameter risk in the Black and Scholes model [PDF]

We study parameter or estimation risk in the hedging of options. We suppose that the world is such that the price of an asset follows a stochastic differential equation. The only unknown is the (future) volatility of the asset.
Henrard Marc
core  

PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation. [PDF]

Entropy (Basel), 2019
Hicks W.
europepmc   +1 more source

Quantum effects in an expanded Black-Scholes model. [PDF]

Eur Phys J B, 2022
Bhatnagar A, Vvedensky DD.
europepmc   +1 more source

An unconditionally stable, positivity-preserving splitting scheme for nonlinear Black-Scholes equation with transaction costs. [PDF]

ScientificWorldJournal, 2014
Guo J, Wang W.
europepmc   +1 more source