Results 191 to 200 of about 3,126,770 (217)

Fractional model and solution for the Black‐Scholes equation

Mathematical Methods in the Applied Sciences, 2017
This work presents a new model of the fractional Black‐Scholes equation by using the right fractional derivatives to model the terminal value problem. Through nondimensionalization and variable replacements, we convert the terminal value problem into an initial value problem for a fractional convection diffusion equation.
Jun‐Sheng Duan, Lei Lu, Lian Chen, Yu‐Lian An   +3 more
openaire   +2 more sources

Conserved Densities of the Black-Scholes Equation

Chinese Physics Letters, 2005
A 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 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.
openaire   +2 more sources

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.
openaire   +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
openaire   +2 more sources

Hedge portfolios and the black-scholes equations

Stochastic Analysis and Applications, 1984
In 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

Solving fractional Black–Scholes equation by using Boubaker functions

Mathematical Methods in the Applied Sciences, 2021
Amirahmad Khajehnasiri, Mostafa Safavi
exaly  

Volatility in the Black-Scholes equation

2022
openaire   +1 more source

Symmetry reduction and exact solutions of the non-linear Black–Scholes equation

Communications in Nonlinear Science and Numerical Simulation, 2018
Sergii Kovalenko
exaly  

Numerical computation of fractional Black–Scholes equation arising in financial marketFootnotePeer review under responsibility of Mansoura University.

Egyptian Journal of Basic and Applied Sciences, 2014
Sunil Kumar, Devendra Kumar, Jagdev Singh   +2 more
exaly