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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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Group classification of a generalized Black–Scholes–Merton equation [PDF]
Communications in Nonlinear Science and Numerical Simulation, 2014 25 ...
Stylianos Dimas
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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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2008
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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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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On the Interconnectedness of Schrodinger and Black-Scholes Equation ()
Journal of Applied Mathematics and Physics, 2015 The following paper tries to derive a Black-Scholes equation by using tools of quantum physics pertaining in that sense to Hamiltonian operator, path integrals, completeness equation, introducing ket and bra vectors. Schrodinger Hamiltonian is presented and compared to Black-Scholes-Schrodinger Hamiltonian. Similarity was demonstrated and it was proved
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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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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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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.
openaire +1 more source