Results 31 to 40 of about 3,126,770 (217)

Bayesian Analysis of the Black-Scholes Option Price [PDF]

, 2004
This paper investigates the statistical properties of the Black-Scholes option price under a Bayesian approach. We incorporate randomness, both in the price process and in volatility, to derive the prior and posterior densities of a European call option.

core   +2 more sources

Invariant solutions of the Black-Scholes equation [PDF]

, 2022
Dissertation (MSc (Applied Mathematics))--University of Pretoria, 2022.In this study, we discuss derivatives, Lie symmetries and invariant solutions of the Black Scholes equation.

core   +1 more source

Robust option replication for a Black-Scholes model extended with nondeterministic trends [PDF]

, 2012
Statistical analysis on various stocks reveals long range dependence behavior of the stock prices that is not consistent with the classical Black and Scholes model.
Schoenmakers, John G. M., Kloeden, Peter E.   +1 more
core   +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, P. Popivanov, A. Slavova   +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

A Generalized Model for Pricing Financial Derivatives Consistent with Efficient Markets Hypothesis—A Refinement of the Black-Scholes Model

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
doaj   +1 more source

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
doaj   +1 more source

An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market [PDF]

, 2005
Includes bibliographical references.The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset.
Chen, Hung-Hsiang
core   +1 more source

Numerical Solution of Fractional Black-Scholes Equation by Using Radial Basis Function (RBF) Approximation Method

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, Ali R. Siheili, A. Neisy   +2 more
doaj  

English teachers' journeys since the 2020 Iteration of Black Lives Matter

British Educational Research Journal, EarlyView.
Abstract The 2020 resurgence of Black Lives Matter (BLM) mobilised students in England to demand greater representation of racially minoritised voices in English curriculums—a call highlighted by stark inequity: just 1.5% of GCSE texts studied are by racially minoritised authors, despite racially minoritised students comprising 38.0% of the student ...
Adrian Fernandes
wiley   +1 more source