Results 21 to 30 of about 744 (186)
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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Controllabilty and stability analysis on a group associated with Black-Scholes equation [PDF]
Archives of Control Sciences, 2020 In this paper we have studied the driftless control system on a Lie group which arises due to the invariance of Black-Scholes equation by conformal transformations.
Archana, Tiwari +2 more
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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 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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Lattice Boltzmann Method for the Generalized Black-Scholes Equation
Advances in Mathematical Physics, 2023 In this paper, an efficient lattice Boltzmann model for the generalized Black-Scholes equation governing option pricing is proposed. The Black-Scholes equation is firstly equivalently transformed into an initial value problem for a partial differential ...
Fangfang Wu +3 more
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