Finding the Solution to the Black-Scholes Equation [PDF]
, 2019 This paper will explore the solution of the Black-Scholes Equation which is used in mathematical finance. It will derive the solution to the Black-Scholes equation, using the solution of the Heat Equation.
Law, Elizabeth
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The black-Scholes formula and the Greek parameters for a nonlinear Black-Scholes equation
, 2016 We study the Greek (risk) parameters of a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction costs. These parameters are derived from the Black-Scholes formula of the nonlinear Black-Scholes equation
Esekon, Joseph E
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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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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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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
Comparative Error Analysis of the Black-Scholes Equation [PDF]
, 2019 Finance is a rapidly growing area in our banking world today. With this ever-increasing development come more complex derivative products than simple buy-and-sell trades. Financial derivatives such as futures and options have been developed stemming from
Chen, Chuan
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Greek parameters of nonlinear Black-Scholes equation
, 2016 Derivatives are used in hedging European options against risks. The partial derivatives of the solution to either a variable or a parameter in the Black-Scholes model are called risk (Greek) parameters or simply the Greeks.
Esekon, Joseph E
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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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