Results 21 to 30 of about 3,126,770 (217)
An Efficient Numerical Model for the Black–Scholes Equations
Journal of Applied MathematicsIn this paper, a novel numerical model for the Black–Scholes equations is developed. To address some potential issues that may arise when solving this equation using the conventional model, the original Black–Scholes equation is reformulated as a ...
Yan Zhou, Yunxing Zhang
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Symmetry Properties of Modified Black-Scholes Equation
Quantitative Methods in Economics, 2022 This paper concerns the classical and conditional symmetries of the Black-Scholes equation. Modifications of the Black-Scholes equation have also been considered and their maximal algebras of invariance have been found. Examples of creation operators for
Maciej Janowicz, Andrzej Zembrzuski
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Fractal and Fractional, 2022 An option is the right to buy or sell a good at a predetermined price in the future. For customers or financial companies, knowing an option’s pricing is crucial.
Sivaporn Ampun +2 more
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Three little arbitrage theorems
Frontiers in Applied Mathematics and Statistics, 2023 The authors proved three theorems about the exact solutions of a generalized or interacting Black–Scholes equation that explicitly includes arbitrage bubbles. These arbitrage bubbles can be characterized by an arbitrage number AN.
Mauricio Contreras G. +2 more
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The Adomian Decomposition Method for Standard Power Options
Ratio Mathematica, 2022 Black-Scholes model derived by Black and Scholes is worldwide used mathematical model for valuing option price. This model brings a new quantitative approach for researcher to finding theoretical values of options.
Sanjay J. Ghevariya
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Analytical solution of time-fractional N-dimensional Black-Scholes equation using LHPM
Ratio Mathematica, 2023 A famous Black-Scholes differential equation is used for pricing options in financial world which represents financial derivatives more significantly. Option is one of the crucial financial derivatives. Sawangtong P., Trachoo K., Sawangtong W.
Sanjay Ghevariya, CHETANBHAI PATEL
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Mathematics, 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, Panumart Sawangtong
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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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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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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
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