Results 161 to 170 of about 79,639 (196)

On the multidimensional Black–Scholes partial differential equation

Annals of Operations Research, 2018
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Fractional Black–Scholes equation

International Journal of Financial Engineering, 2017
In 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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The homotopy perturbation method for the Black–Scholes equation

Journal of Statistical Computation and Simulation, 2009
The homotopy perturbation method is designed to obtain a quick and accurate solution to the Black–Scholes equation and boundary conditions for a European option pricing problem. The problem of pricing a European option can be cast a partial differential equation.
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The Black-Scholes Equation for Weather Derivatives

SSRN Electronic Journal, 2003
We show how the Black and Scholes (1973) and Black (1976) partial differential equations can be adapted for the pricing of weather options that are hedged using weather swaps.
Stephen Jewson, Mihail Zervos
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Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing

Numerical Algorithms, 2022
M. Zhang, Guo‐Feng Zhang
semanticscholar   +1 more source

On exact null controllability of Black-Scholes equation

Kybernetika, 2008
Summary: In this paper we discuss the exact null controllability of linear as well as nonlinear Black-Scholes equation when both the stock volatility and risk-free interest rate influence the stock price but they are not known with certainty while the control is distributed over a subdomain. The proof of the linear problem relies on a Carleman estimate
Kumarasamy Sakthivel, Krishnan Balachandran, Rangarajan Sowrirajan, Jeong-Hoon Kim   +3 more
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The Black-Scholes Differential Equation

2002
Having used arbitrage considerations to derive various properties of derivatives, in particular of option prices (upper and lower bounds, parities, etc.), we now demonstrate how such arbitrage arguments, with the help of results from stochastic analysis, namely Ito’s formula 3.18, can be used to derive the famous Black-Scholes equation.
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Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: Double barrier options

Computers and Mathematics with Applications, 2021
Mitra Rezaei, A. Yazdanian, A. Ashrafi, S. Mahmoudi   +3 more
semanticscholar   +1 more source

Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option

, 2021
H. Mesgarani, S. Ahanj, Y. E. Aghdam
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A novel numerical scheme for a time fractional Black–Scholes equation

Journal of Applied Mathematics and Computation, 2020
Mianfu She, Lili Li, Renxuan Tang, Dongfang Li   +3 more
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