Results 31 to 40 of about 744 (186)
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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Computation, 2021 In the finance market, the Black–Scholes equation is used to model the price change of the underlying fractal transmission system. Moreover, the fractional differential equations recently are accepted by researchers that fractional differential equations
Sirunya Thanompolkrang +2 more
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Alexandria Engineering Journal, 2023 Financial derivatives plays a major role in all financial deals these days. Black–Scholes option pricing model gives a risk free analysis for investing in options. In the current work, a method called the Laplace Perturbation Iteration Algorithm is being
Fareeha Sami Khan +4 more
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PENENTUAN HARGA OPSI DAN NILAI HEDGE MENGGUNAKAN PERSAMAAN NON-LINEAR BLACK-SCHOLES
E-Jurnal Matematika, 2016 Option are contracts that give the right to sell and buy the asset at a price and a certain period of time. In addition investors use option as a means of hedge against asset owned.
PUTU AYU DENI +2 more
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On the Generation of Infinitely Many Conservation Laws of the Black-Scholes Equation
Computation, 2020 Construction of conservation laws of differential equations is an essential part of the mathematical study of differential equations. In this paper we derive, using two approaches, general formulas for finding conservation laws of the Black-Scholes ...
Winter Sinkala
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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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On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model
Mathematics, 2020 We consider the problem of pricing American options using the generalized Black–Scholes model. The generalized Black–Scholes model is a modified form of the standard Black–Scholes model with the effect of interest and consumption rates.
Jung-Kyung Lee
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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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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.
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Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing
Advances in Mathematical Physics, 2015 A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonliner generalised Black-Scholes equation and the classical Black-Scholes equation, is studied using Lie symmetry analysis.
Winter Sinkala, Tembinkosi F. Nkalashe
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