Results 11 to 20 of about 79,639 (196)
A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation [PDF]
Mathematical methods in the applied sciences, 2021 In this paper, a high‐order and fast numerical method is investigated for the time‐fractional Black‐Scholes equation. In order to deal with the typical weak initial singularity of the solution, we construct a finite difference scheme with variable time ...
Kerui Song, Pin Lyu
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Parameter estimation for time-fractional Black-Scholes equation with S &P 500 index option
Numerical Algorithms, 2023 This paper aims to estimate the parameters of the time-fractional Black-Scholes (TFBS) partial differential equation with the Caputo fractional derivative by using the real option prices of the S &P 500 index options.
Xingyu An +4 more
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Gambling and Substance Use: Early Evidence From Sports Betting Laws. [PDF]
Health EconABSTRACT Previous research documents a strong association between gambling and substance use, suggesting that these seemingly distinct behaviors may share similar environmental, neurobiological, and genetic causes. However, there is a dearth of credible empirical evidence on whether gambling has a causal impact on substance use or vice versa.
Dasgupta K, Ghimire K.
europepmc +2 more sources
A Nonstandard Finite Difference Method for a Generalized Black-Scholes Equation
Symmetry, 2022 An implicit finite difference scheme for the numerical solution of a generalized Black–Scholes equation is presented. The method is based on the nonstandard finite difference technique.
Mohammad Mehdizadeh Khalsaraei +4 more
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A non-linear Black-Scholes equation [PDF]
International Journal of Business Performance and Supply Chain Modelling, 2009 We study a modification of the Black-Scholes equation allowing for uncertain volatility. The model leads to a partial differential equation with non-linear dependence upon the highest derivative. Under certain assumptions, we show existence and uniqueness of a solution to the Cauchy problem.
Yan Qiu, Jens Lorenz
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A posteriori grid method for a time-fractional Black-Scholes equation
AIMS Mathematics, 2022 In this paper, a posteriori grid method for solving a time-fractional Black-Scholes equation governing European options is studied. The possible singularity of the exact solution complicates the construction of the discretization scheme for the time ...
Zhongdi Cen, Jian Huang, A. Xu
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A robust numerical solution to a time-fractional Black–Scholes equation
, 2021 Dividend paying European stock options are modeled using a time-fractional Black–Scholes (tfBS) partial differential equation (PDE). The underlying fractional stochastic dynamics explored in this work are appropriate for capturing market fluctuations in ...
Samuel Megameno Nuugulu +2 more
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Black-Scholes option pricing within Ito and Stratonovich conventions [PDF]
, 2000 Options financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Ito ...
Arthur +32 more
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Relativistic Black-Scholes model [PDF]
, 2016 Black-Scholes equation, after a certain coordinate transformation, is equivalent to the heat equation. On the other hand the relativistic extension of the latter, the telegraphers equation, can be derived from the Euclidean version of the Dirac equation.
Trzetrzelewski, Maciej
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Bubbles, convexity and the Black–Scholes equation
The Annals of Applied Probability, 2009 A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standard results from option pricing theory do not hold, and in this paper we address some of these issues. In particular, we derive existence and uniqueness results for the Black--
Ekström, Erik, Tysk, Johan
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