Results 21 to 30 of about 79,639 (196)
, 2021 In the finance market, it is well known that the price change of the underlying fractal transmission system can be modeled with the Black-Scholes equation.
Sivaporn Ampun, P. Sawangtong
semanticscholar +1 more source
Novel ANN method for solving ordinary and fractional Black-Scholes equation [PDF]
Complex, 2021 The main aim of this study is to introduce a 2-layered artificial neural network (ANN) for solving the Black–Scholes partial differential equation (PDE) of either fractional or ordinary orders.
Saeed Bajalan, Nastaran Bajalan
semanticscholar +1 more source
Numerical Approximation of Black-Scholes Equation
Annals of the Alexandru Ioan Cuza University - Mathematics, 2010 Summary: This study deals with the well-known Black-Scholes model in a complete financial market. We obtain numerical methods for European and exotic options, for one-asset and for two-assets models.
Dura, Gina, Moşneagu, Ana-Maria
openaire +1 more source
Lie symmetries of (1+2) nonautonomous evolution equations in Financial Mathematics
, 2016 We analyse two classes of $(1+2)$ evolution equations which are of special interest in Financial Mathematics, namely the Two-dimensional Black-Scholes Equation and the equation for the Two-factor Commodities Problem.
Leach, P. G. L. +2 more
core +4 more sources
On the solution of two-dimensional fractional Black–Scholes equation for European put option
, 2020 The purpose of this paper was to investigate the dynamics of the option pricing in the market through the two-dimensional time fractional-order Black–Scholes equation for a European put option.
Din Prathumwan, Kamonchat Trachoo
semanticscholar +1 more source
On nonlinear Black-Scholes equations
Nonlinear Analysis and Differential Equations, 2013 This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versions arising in option pricing theory.
AGLIARDI, ROSSELLA +2 more
openaire +2 more sources
New symmetries of Black-Scholes equation
International Journal of Mathematics and Computers in Simulation, 2020 This work presents the comparison study between neural super-twisting sliding mode control (NSTSM) and adaptive-network-based fuzzy inference system-STSM (ANFIS-STSM) algorithm of the doubly fed induction generator (DFIG) controlled by direct power control (DPC). The mathematical model of the three-phase DFIG has been described. The descriptions of the
openaire +1 more source
Understanding How Dividends Affect Option Prices [PDF]
, 2016 In this paper, we propose a pricing model for stock option valuation. The model is derived from the classical Black-Scholes option pricing equation via the application of the constant elasticity of variance (CEV) model with dividend yield.
Edeki, S.O. +2 more
core +1 more source
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.
openaire +3 more sources
On properties of solutions to Black–Scholes–Barenblatt equations [PDF]
Advances in Difference Equations, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xinpeng Li, Yiqing Lin, Weicheng Xu
openaire +3 more sources