Results 101 to 110 of about 3,126,770 (217)
Lie Symmetry Analysis of a Nonlinear Black–Scholes Equation in Illiquid Markets
International Journal of Mathematics and Mathematical SciencesWe 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
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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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RISK-FREE INTERNAL GAINS – BLACK AND SCHOLES RE-EXAMINED [PDF]
In this paper we first show that if a not-necessarily-self-financing portfolio has instantaneously riskless internal gains, then on an infinitesimal time-interval, the increase in the internal gains on the portfolio is the same as the change in the price
Gergei Bana
core
Pricing European and Barrier Options in the Fractional Black-Scholes Market [PDF]
The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
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, 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
openaire +3 more sources
Exponential Finite Difference Method for Nonlinear Black-Scholes Equation [PDF]
, 2017 Bu tezde, likit olmayan bir piyasada ortaya çıkan doğrusal olmayan Black-Scholes denklemi için üstel sonlu fark yöntemi çalışılmıştır. 1. Bölüm opsiyon fiyatlandırması problemi terminolojisi, temel tanımlar ve literatür taramasına ayrılmıştır. 2. Bölümde
Omar, Fathıa
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Black-Scholes Martingale Model: An Algorithm Analysis [PDF]
, 2010 As trading volume and variety of option contracts keep increasing in financial markets around the world, computing speed and running time of financial software have become crucial factors at options trading board where appropriate pricing of option ...
440 +7 more
core
, 2007 We show that the problem of recovering the time-dependent parameters of an equation of Black-Scholes type can be formulated as an inverse Stieltjes moment problem. An application to the problem of implied volatility calculation in the case when the model
Marianito R Rodrigo (20192331) +1 more
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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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