Results 11 to 20 of about 3,126,770 (217)
Studying a Tumor Growth Partial Differential Equation via the Black–Scholes Equation
Computation, 2020 Two equations are considered in this paper—the Black–Scholes equation and an equation that models the spatial dynamics of a brain tumor under some treatment regime. We shall call the latter equation the tumor equation.
Winter Sinkala, Tembinkosi F. Nkalashe
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The Quantum Black-Scholes Equation [PDF]
, 2006 Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus. Our model includes stock markets described by quantum Brownian motion and Poisson process.
ACCARDI, LUIGI, Boukas, A.
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A New Solution to the Fractional Black–Scholes Equation Using the Daftardar-Gejji Method
Mathematics, 2023 The main objective of this study is to determine the existence and uniqueness of solutions to the fractional Black–Scholes equation. The solution to the fractional Black–Scholes equation is expressed as an infinite series of converging Mittag-Leffler ...
Agus Sugandha +3 more
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Relativistic Black–Scholes Equation
Revista Mexicana de Economía y FinanzasThe Relativistic Black Scholes Model presented in this paper is a generalization that is not very well known since the original version of 1973, because its effects are still not very significant. Actually, any small advantage in information knowledge in the High-Frequency Trading can become great arbitrage opportunities.
Sierra Juárez, Guillermo
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Symmetries of the Black-Scholes equation [PDF]
Methods and Applications of Analysis, 2012 We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.
Lescot, Paul
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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–
A. Aghili
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Solving the Black-Scholes Partial Differential Equation via the Solution Method for a One-Dimensional Heat Equation: A Pedagogic Approach with a Spreadsheet-Based Illustration [PDF]
Spreadsheets in Education, 2019 The derivation of the Black-Scholes option pricing model, if covered in detail, is by far the most complicated among all major models in the finance curriculum.
Clarence C. Y. Kwan
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On properties of solutions to Black–Scholes–Barenblatt equations [PDF]
Advances in Difference Equations, 2019 This paper is concerned with the Black–Scholes–Barenblatt equation ∂tu+r(x∂xu−u)+G(x2∂xxu)=0 $\partial _{t}u+r(x\partial _{x}u-u)+G(x^{2}\partial _{xx}u)=0$, where G(α)=12(σ‾2−σ_2)|α|+12(σ‾2+σ_2)α $G(\alpha )=\frac{1}{2}(\overline{\sigma}^{2}-\underline{\
Xinpeng Li, Yiqing Lin, Weicheng Xu
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Option pricing by Nikivorou-Ovarov differential resolution method [PDF]
فصلنامه بورس اوراق بهادار, 2021 The Black-Scholes pricing theory is one of the most important ways of valuating transaction options. This equation is used to pricing a variety of European options.
mehdi abvali +3 more
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The Role of the Volatility in the Option Market
AppliedMath, 2023 We review some general aspects about the Black–Scholes equation, which is used for predicting the fair price of an option inside the stock market. Our analysis includes the symmetry properties of the equation and its solutions.
Ivan Arraut, Ka-I Lei
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