Results 31 to 40 of about 32,893 (190)
Alexandria Engineering Journal, 2023 Trivially, the time-fractional Black–Scholes (FBS) equation is utilized to describe the behavior of the option pricing in financial markets. This work is intended as an attempt to introduce the ψ-Hilfer fractional Black–Scholes (ψ-HFBS) equation.
F. Mohammadizadeh +4 more
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Risks, 2023 This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate.
Jussi Lindgren
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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
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On the solution of two-dimensional fractional Black–Scholes equation for European put option
Advances in Difference Equations, 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
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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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Efficient Markets and Contingent Claims Valuation: An Information Theoretic Approach
Entropy, 2020 This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory.
Jussi Lindgren
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Chaos for generalized Black-Scholes equations
, 2023 The Nobel Prize winning Black-Scholes equation for stock options and the heat equation can both be written in the form \[ \frac{\partial u}{\partial t}=P_2(A)u, \] where $P_2(z)=αz^2+ βz+γ$ is a quadratic polynomial with $α> 0$. In fact, taking $A = x\frac{\partial}{\partial x}$ on functions on $[0,\infty) \times [0,\infty)$ the previous equality ...
Candela, Anna Maria +3 more
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پژوهشهای ریاضی, 2020 Introduction Fractional Differential Calculus (FDC) began in the 17th century and its initial discussions were related to the works of Leibniz, Lagrange, Abel and others.
Sedighe Sharifian +2 more
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Qualitatively Stable Schemes for the Black–Scholes Equation
Fractal and Fractional, 2023 In this paper, the Black–Scholes equation is solved using a new technique. This scheme is derived by combining the Laplace transform method and the nonstandard finite difference (NSFD) strategy. The qualitative properties of the method are discussed, and
Mohammad Mehdizadeh Khalsaraei +5 more
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The Role of Price‐Volatility Cojumps in Volatility Forecasting
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
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