Results 141 to 150 of about 79,639 (196)
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International Journal of Financial Engineering, 2023
The Black–Scholes equation is an important analytical tool for option pricing in finance. This paper discusses the Lie symmetry analysis of bi-fractional Black–Scholes equation derived by the fractional G-Brownian motion.
Jicheng Yu, Yuqiang Feng, Xianjia Wang
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The Black–Scholes equation is an important analytical tool for option pricing in finance. This paper discusses the Lie symmetry analysis of bi-fractional Black–Scholes equation derived by the fractional G-Brownian motion.
Jicheng Yu, Yuqiang Feng, Xianjia Wang
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Lie symmetry analysis and exact solutions of time fractional Black–Scholes equation
International Journal of Financial Engineering, 2022The Black–Scholes equation is an important analytical tool for option pricing in finance. This paper discusses the constructive methods of exact solutions to time fractional Black–Scholes equation.
Jicheng Yu, Yuqiang Feng, Xianjia Wang
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, 2020
This paper is concerned with the design of a high order numerical approach based on a uniform mesh for efficient numerical solution of time-fractional Black-Scholes equation, governing European options.
P. Roul
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This paper is concerned with the design of a high order numerical approach based on a uniform mesh for efficient numerical solution of time-fractional Black-Scholes equation, governing European options.
P. Roul
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On modified Black–Scholes equation
Chaos, Solitons & Fractals, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ahmed, E., Abdusalam, H. A.
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Communications in Theoretical Physics, 2021
In this study, we prove that modified diffusion equations, including the generalized Burgers’ equation with variable coefficients, can be derived from the Black-Scholes equation with a time-dependent parameter based on the propagator method known in ...
R. El-Nabulsi, A. Golmankhaneh
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In this study, we prove that modified diffusion equations, including the generalized Burgers’ equation with variable coefficients, can be derived from the Black-Scholes equation with a time-dependent parameter based on the propagator method known in ...
R. El-Nabulsi, A. Golmankhaneh
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Symmetry Breaking for Black–Scholes Equations
Communications in Theoretical Physics, 2007Summary: Black-Scholes equation is used to model stock option pricing. In this paper, optimal systems with one to four parameters of Lie point symmetries for Black-Scholes equation and its extension are obtained. Their symmetry breaking interaction associated with the optimal systems is also studied.
Yang, Xuan-Liu +2 more
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, 2020
This paper presents the applications of Homotopy Analysis Method (HAM) in the valuation of a European Call Option (ECO) with Time-Fractional Black-Scholes Equation (TFBSE). The fractional derivative is considered in the sense of Caputo.
Sunday Emmanuel Fadugba
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This paper presents the applications of Homotopy Analysis Method (HAM) in the valuation of a European Call Option (ECO) with Time-Fractional Black-Scholes Equation (TFBSE). The fractional derivative is considered in the sense of Caputo.
Sunday Emmanuel Fadugba
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, 2021
This paper tries to examine the recovery of the time-dependent implied volatility coefficient from market prices of options for the time fractional Black–Scholes equation (TFBSM) with double barriers option.
S. Iqbal, Yujie Wei
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This paper tries to examine the recovery of the time-dependent implied volatility coefficient from market prices of options for the time fractional Black–Scholes equation (TFBSM) with double barriers option.
S. Iqbal, Yujie Wei
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Mathematical methods in the applied sciences
The time‐fractional Black‐Scholes equation (TFBSE) is an important model in financial markets, widely used for estimating the prices of European options under conditions of memory effects and anomalous diffusion.
Jiawei Wang +3 more
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The time‐fractional Black‐Scholes equation (TFBSE) is an important model in financial markets, widely used for estimating the prices of European options under conditions of memory effects and anomalous diffusion.
Jiawei Wang +3 more
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On the numerical solution of time fractional Black-Scholes equation
International Journal of Computational Mathematics, 2021In this study, we provide a numerical method to approximate the solution of the time fractional Black-Sholes equation by applying the multiquadric (MQ) quasi-interpolation scheme and the integrated radial basis function networks scheme.
M. Sarboland, A. Aminataei
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