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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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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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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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Conservation laws for the Black–Scholes equation
Nonlinear Analysis: Real World Applications, 2009The authors begin by recalling the relationship between the Black-Scholes equation and the diffusion equation -- a result already known to Black and Scholes but presented here in the framework of Lie point symmetries. They analyze the Black-Scholes equation for potential symmetries by writing it in an obvious conserved form and obtain the solutions ...
Edelstein, R. M., Govinder, K. S.
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Fractional Black–Scholes equation
International Journal of Financial Engineering, 2017In this paper, it has been shown that the combined use of exponential operators and special functions provides a powerful tool to solve certain class of generalized space fractional Laguerre heat equation. It is shown that exponential operators are powerful and effective method for solving certain singular integral equations and space fractional Black–
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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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Numerical solution of time-fractional Black–Scholes equation
Computational and Applied Mathematics, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Koleva, Miglena N., Vulkov, Lubin G.
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Infinite-Dimensional Black-Scholes Equation with Hereditary Structure
Applied Mathematics and Optimization, 2007This paper is devoted to the study of the call option pricing problem in (B,S)-markets with hereditary structures in the stock price and in the riskless bank account. By using the concepts of Fréchet derivatives and weak infinitesimal generator the authors see that this problem is equivalent to solving a infinite-dimensional equation, where the partial
Chang, Mou-Hsiung, Youree, Roger K.
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