Results 151 to 160 of about 744 (186)
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Exact and numerical solution of Black–Scholes matrix equation
Applied Mathematics and Computation, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Pablo Sevilla-Peris, Lucas Jódar
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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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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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SSRN Electronic Journal, 2004
In the last three decades increased attention has been paid to the valuation of the contingent claims whose value depend on underlying financial instruments, called securities. One of the most significant achievements in modern investment sciences is the Black-Scholes option pricing model.
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In the last three decades increased attention has been paid to the valuation of the contingent claims whose value depend on underlying financial instruments, called securities. One of the most significant achievements in modern investment sciences is the Black-Scholes option pricing model.
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A MULTILEVEL APPROACH TO SOLVING THE BLACK–SCHOLES EQUATION [PDF]
International Journal of Theoretical and Applied Finance, 2010 In this manuscript, we develop a multilevel framework for the pricing of a European call option based on multiresolution techniques. In this approach, the Black–Scholes equation is transformed via finite differences into a system of linear equations, where the form of the implicit operator is used to construct coarse grid projectors.
HEDLEY MORRIS, ALFONSO LIMON
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Black-Scholes Differential Equation
2021After deriving the Black-Scholes equation for a call option from the requirement to make a portfolio risk-free, the equation is solved using a number of variable substitutions, which transforms it into a diffusion equation. Using the latter’s Green’s function is then used to value European call options.
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On the multidimensional Black–Scholes partial differential equation
Annals of Operations Research, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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An approximation scheme for Black-Scholes equations with delays
Journal of Systems Science and Complexity, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mou-Hsiung Chang +2 more
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2019
We now are ready to derive the important Black–Scholes Equation [1], which is widely used to determine pricing of Calls and Puts! An outline is given next; details are developed in the next chapter.
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We now are ready to derive the important Black–Scholes Equation [1], which is widely used to determine pricing of Calls and Puts! An outline is given next; details are developed in the next chapter.
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Fractional model and solution for the Black‐Scholes equation
Mathematical Methods in the Applied Sciences, 2017This work presents a new model of the fractional Black‐Scholes equation by using the right fractional derivatives to model the terminal value problem. Through nondimensionalization and variable replacements, we convert the terminal value problem into an initial value problem for a fractional convection diffusion equation.
Jun‐Sheng Duan +3 more
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