Results 101 to 110 of about 744 (186)
, 2005 In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation
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AppliedMathThis 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 +3 more
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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 +2 more
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„BLACK-SCHOLES MODEL USED TO EVALUATE STOCKS OPTIONS” [PDF]
Annals of the University of Oradea: Economic Science, 2010 Partial differential equation, parabolic Black-Scholes type, is used in evaluating equity options, that paying constant and continue dividends or in evaluate options in which interest rate, volatility and dividend are dependent on time.
Turcan Radu Olimpiu Calin
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Revisiting Black–Scholes: A Smooth Wiener Approach to Derivation and a Self-Contained Solution
MathematicsThis 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
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PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation. [PDF]
Entropy (Basel), 2019 Hicks W.
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An unconditionally stable, positivity-preserving splitting scheme for nonlinear Black-Scholes equation with transaction costs. [PDF]
ScientificWorldJournal, 2014 Guo J, Wang W.
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Cubic Trigonometric B-spline Collocation Approach for Black-Scholes Method
四川大学学报. 自然科学版, 2017 A cubic trigonometric B-spline collocation approach is developed for the numerical solution of Black-Scholes equation governing European option pricing.
WU Bei-Bei, YIN Jun-Feng, JIN Meng
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Solution to a nonlinear Black-Scholes equation
Electronic Journal of Differential Equations, 2011 Option pricing with transaction costs leads to a nonlinear Black-Scholes type equation where the nonlinear term reflects the presence of transaction costs. Under suitable conditions, we prove the existence of weak solutions in a bounded domain and we
Maria Cristina Mariani +2 more
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Quantum effects in an expanded Black-Scholes model. [PDF]
Eur Phys J B, 2022 Bhatnagar A, Vvedensky DD.
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