Results 61 to 70 of about 79,639 (196)

The Black–Scholes equation in stochastic volatility models

Journal of Mathematical Analysis and Applications, 2010
The purpose of this paper is to provide the precise connection between the risk-neutral expected value and the pricing PDE with appropriate boundary conditions for stochastic volatility models. This paper extends the one-dimensional results by the authors in [``Boundary conditions for the single-factor term structure equation'', Ann. Appl.
Ekström, Erik, Tysk, Johan
openaire   +2 more sources

Numerical Solution of Fractional Black-Scholes Equation by Using the Multivariate Padé Approximation

, 2017
In this study, a new application of multivariate Padé approximation method has been used for solving European vanilla call option pricing problem. Padé polynomials have occurred for the fractional Black-Scholes equation, according to the relations of ...
N. Özdemir, Mehmet Yavuz
semanticscholar   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

Improving Implied Volatility Forecasts for American Options Using Neural Networks

Journal of Futures Markets, Volume 46, Issue 6, Page 1137-1153, June 2026.
ABSTRACT This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market‐implied and model‐implied volatilities derived from the Black‐Scholes and Heston
Haitong Jiang, Emese Lazar, Miriam Marra
wiley   +1 more source

An adaptive moving mesh method for a time-fractional Black–Scholes equation

, 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
semanticscholar   +1 more source

Novel Approaches for Getting the Solution of the Fractional Black–Scholes Equation Described by Mittag-Leffler Fractional Derivative

, 2020
The value of an option plays an important role in finance. In this paper, we use the Black–Scholes equation, which is described by the nonsingular fractional-order derivative, to determine the value of an option. We propose both a numerical scheme and an
N. Sene, Babacar Sène, Seydou Nourou Ndiaye, A. Traoré   +3 more
semanticscholar   +1 more source

The Black-Scholes Equation and Certain Quantum Hamiltonians

, 2010
10 pages, no figures, some important changes were maked. An author was added.
Romero, Juan M., González-Gaxiola, O., Ruiz de Chávez, J., Bernal-Jaquez, R.   +3 more
openaire   +3 more sources

Generalised class of Time Fractional Black Scholes equation and numerical analysis

Discrete and Continuous Dynamical Systems. Series A, 2019
It is well known now, that a Time Fractional Black Scholes Equation (TFBSE) with a time derivative of real order \begin{document}$ \alpha $\end{document} can be obtained to describe the price of an option, when for example the change in the underlying ...
Rodrigue G. Batogna, A. Atangana
semanticscholar   +1 more source

On the complete model with stochastic volatility by Hobson and Rogers [PDF]

We examine a recent model, proposed by Hobson and Rogers, which generalizes the classical one by Black and Scholes for pricing derivative securities such as options and futures.
Andrea Pascucci, Marco Di Francesco
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