Results 101 to 110 of about 32,893 (190)

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

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., McCauley, Joseph L.   +1 more
core   +1 more source

The Junction of PDEs, Financial Mathematics and Probability: Deriving Classical and Generalized Black-Scholes–Merton Formulas

AppliedMath
This paper explores the intersection of three foundational areas—partial differential equations, financial mathematics, and probability—by providing a rigorous framework for the classical Black-Scholes–Merton option pricing model and its generalized ...
Len Meas, Chhaunny Chhum, Phichhang Ou, Mara Mong   +3 more
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

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  

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  

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

An Efficient Numerical Model for the Black–Scholes Equations

Journal of Applied Mathematics
In this paper, a novel numerical model for the Black–Scholes equations is developed. To address some potential issues that may arise when solving this equation using the conventional model, the original Black–Scholes equation is reformulated as a ...
Yan Zhou, Yunxing Zhang
doaj   +1 more source

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

Entropy (Basel), 2019
Hicks W.
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