Results 81 to 90 of about 32,934 (189)
Memory in the Black-Scholes model [PDF]
, 1997 The evolution in time of European options is usually studied using the Black-Scholes formula. This formula is obtained from the equivalence between the Black-Scholes equation and a heat equation.
Ferreira, J. A., Oliveira, P. de
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N2 fixation is linked to the ability to encroach in African savanna trees
Functional Ecology, Volume 40, Issue 2, Page 517-533, February 2026.Read the free Plain Language Summary for this article on the Journal blog. Abstract Encroachment is a globally ubiquitous phenomenon, characterised by increasing indigenous tree densities in savanna and grassland. Encroachment has been attributed to rising atmospheric CO2 concentrations fertilising tree growth and shifting the competitive balance ...
Elizabeth M. Telford +12 more
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Diffusion transformations, Black–Scholes equation and optimal stopping [PDF]
The Annals of Applied Probability, 2018 We develop a new class of path transformations for one-dimensional diffusions that are tailored to alter their long-run behaviour from transient to recurrent or vice versa. This immediately leads to a formula for the distribution of the first exit times of diffusions, which is recently characterised by Karatzas and Ruf \cite{KR} as the minimal solution
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Enterprise Data Valuation—A Targeted Literature Review
Journal of Economic Surveys, Volume 40, Issue 1, Page 73-92, February 2026.ABSTRACT As digital transformation redefines business models, enterprise value increasingly depends on intangible assets, especially data, rather than traditional physical assets like buildings and equipment. Traditional accounting has long focused on valuing physical assets based on their anticipated future economic benefits, distinguishing between ...
Sai Krishnan Mohan +2 more
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Supply chain risk in grain trading: Inventories as real options for shipping grain
Agribusiness, Volume 42, Issue 1, Page 175-195, Winter 2026.Abstract Integrating trading and logistics is an important challenge in commodity trading. Trading and logistics are strategic decisions and are integral to most commodities including grain shipping by rail, in addition to other modes (barges, ocean shipping). There are substantial risks, such as the ordering and placement of rail cars.
William W. Wilson, Jesse Klebe
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Evaluation of Options using the Black-Scholes Methodology
Expert Journal of Economics, 2019 This paper discusses how to obtain the Black-Scholes equation to evaluate options and how to obtain explicit solutions for Call and Put. The Black-Scholes equation, which is the basis for determining explicit solutions for Call and Put, is a rather ...
Vasile BRĂTIAN
doaj
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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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
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Physical Climate Risk in Asset Management
Corporate Social Responsibility and Environmental Management, Volume 33, Issue 1, Page 1077-1094, January 2026.ABSTRACT Climate‐related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and productivity. It is essential for asset managers to quantify the exposure of their portfolios to such risk.
Michele Azzone +3 more
wiley +1 more source
Abstract and Applied Analysis, 2013 An adaptive wavelet precise integration method (WPIM) based on the variational iteration method (VIM) for Black-Scholes model is proposed. Black-Scholes model is a very useful tool on pricing options.
Huahong Yan
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