Results 171 to 180 of about 32,934 (189)
Some of the next articles are maybe not open access.
The Black–Scholes equation in finance: Quantum mechanical approaches
Physica A: Statistical Mechanics and its Applications, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +3 more sources
Far Field Boundary Conditions for Black--Scholes Equations
SIAM Journal on Numerical Analysis, 2000The partial differential equations approach for valuing European-style options is considered. In order to solve the equations numerically by finite difference or finite element methods it is necessary to introduce an artificial boundary in order to make the computational domain bounded.
Kangro, Raul, Nicolaides, Roy
openaire +1 more source
Conserved Densities of the Black-Scholes Equation
Chinese Physics Letters, 2005A class of new conserved densities of the Black-Scholes equation are constructed by using the multiplier that is derived from the result of divergence expression annihilation under the full Euler operator. The method does not depend on the symmetries of the Black-Scholes equation. These conserved densities can be expressed by solutions of the classical
Qin Mao-Chang, Mei Feng-Xiang, Shang Mei
openaire +1 more source
The Black-Scholes Differential Equation
2002Having 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.
openaire +1 more source
On the multidimensional Black–Scholes partial differential equation
Annals of Operations Research, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
Stochastic Processes and Black–Scholes Equation
2020The value of the security changes constantly and over very short time scales: FX transactions can be measured in microseconds, or millionths of a second. The actual values of each FX trade does indeed exist, but it becomes near to impossible to describe its motion in complete detail.
openaire +1 more source
Numerical investigation of Black-Scholes equation
2020Abstract: Black-Scholes Equation provides a theoretical estimate for the price of options. In this thesis work, we consider both Linear and Nonlinear Black-Scholes Model for the European option price. We analytically approach the Black-Scholes Equation by the transformation of the problem into a forward convection-diffusion equation with linear and
openaire +1 more source
The Black–Scholes–Merton Differential Equation
2016The simultaneous publications of Black and Scholes [6] and Merton [65] in 1973 mark the beginning of the theory of option pricing. Using the theory of stochastic calculus, they derived the so-called Black–Scholes–Merton differential equation. It is essentially a heat equation with the direction of time reversed.
openaire +1 more source
Hedge portfolios and the black-scholes equations
Stochastic Analysis and Applications, 1984In 1973, Black and Scholes showed that a portfolio made up of shares of an asset A, whose price varies as a geometric Brownian motion, and shares of an asset B, whose price per share is functionally dependent on the price per share of A could be manipulated to be riskless, and designed to achieve any given rate of return on investment In this paper, we
openaire +1 more source