Results 61 to 70 of about 3,126,770 (217)
Revisiting the Black-Scholes equation [PDF]
, 1998 In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships among the securities in the asset ...
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An adaptive moving mesh method for a time-fractional Black–Scholes equation
Advances in Difference Equations, 2019 In this paper we study the numerical method for a time-fractional Black–Scholes equation, which is used for option pricing. The solution of the fractional-order differential equation may be singular near certain domain boundaries, which leads to ...
Jian Huang, Zhongdi Cen, Jialiang Zhao
doaj +1 more source
Beni-Suef University Journal of Basic and Applied Sciences, 2023 Background Following a financial loss in trades due to lack of risk management in previous models from market practitioners, Fisher Black and Myron Scholes visited the academic setting and were able to mathematically develop an option pricing equation ...
Adedapo Ismaila Alaje +5 more
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Financial Management, EarlyView.ABSTRACT Diversity, equity, and inclusion (DEI) is one of the most polarizing issues in business and society. Advocates claim that DEI enhances fairness, while critics argue it undermines meritocracy. The problems often stem from the practice of DEI—reducing it to demographic diversity—rather than its principle.
Alex Edmans
wiley +1 more source
On the numerical solution of nonlinear Black–Scholes equations
Computers & Mathematics with Applications, 2008 Nonlinear Black–Scholes equations have been increasingly attracting interest over the last two decades, since they provide more accurate values by taking into account more realistic assumptions, such as transaction costs, risks from an unprotected portfolio, large investor’s preferences or illiquid markets, which may have an impact on the stock price ...
Julia Ankudinova, Matthias Ehrhardt 0001
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Lie Symmetries of (1+2) Nonautonomous Evolution Equations in Financial Mathematics
Mathematics, 2016 We analyse two classes of ( 1 + 2 ) evolution equations which are of special interest in Financial Mathematics, namely the Two-dimensional Black-Scholes Equation and the equation for the Two-factor Commodities Problem. Our approach is that of Lie
Andronikos Paliathanasis +2 more
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Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function
International Statistical Review, EarlyView.Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler +3 more
wiley +1 more source
Black-Scholes Equation and Heat Equation [PDF]
, 2016 First, we present and define the Black-Scholes equation which is used to model assets on the stock market. After that, we derive the heat equation that describes how the temperature increases through a homogeneous material. Finally, we detail how the two
Joyner, Charles D
core
CEO Narcissism and Related Party Transactions
Journal of Business Finance &Accounting, EarlyView.ABSTRACT We examine the association between CEO narcissism and the likelihood of engaging in related party transactions (RPTs) and its influence on the value implications of these transactions. Furthermore, we investigate the effect of board monitoring on the relationship between CEO narcissism and the value effects of RPTs. We find that CEO narcissism
Anwer S. Ahmed +3 more
wiley +1 more source
Lie Symmetries Of The Black-Scholes Equation
, 2010 In this paper symmetry expansions for Black-Scholes equation are studied. Differently then the other studies in the literaTurkishe for Black-Scholes equation, we expanded the equation into a parametric form by adding a coefficient a.
Polat, R.
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