Results 81 to 90 of about 3,126,770 (217)
Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation [PDF]
A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs.
Michel Fournié +2 more
core
Contingent capital: A tale of two valuations
Journal of Risk and Insurance, EarlyView.Abstract This study investigates the valuation gap between buyers and sellers of insurers' contingent capital, driven by asymmetric exposures to tax benefits, capital injections, and bankruptcy costs. We develop a novel Twin‐Tree Model with Jumps (TTMJ) that models the insurer's asset value dynamics by incorporating catastrophe risk, insolvency risk ...
Tian‐Shyr Dai +3 more
wiley +1 more source
A Framework for Derivative Pricing in the Fractional Black-Scholes Market [PDF]
The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
core
Positivity Preserving Schemes for Black-Scholes Equation [PDF]
, 2015 Mathematical finance is a field of applied mathematics, concerned with financial markets. In the market of financial derivatives the most important problem is the so called option valuation problem, i.e. to compute a fair value for the option.
Jahandizi, Reza Shokri +1 more
core +1 more source
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
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
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
Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model [PDF]
For option whose striking price equals the forward price of the underlying asset, the Black-Scholes pricing formula can be approximated in closed-form. A interesting result is that the derived equation is not only very simple in structure but also that ...
paolo pianca
core
Vulnerable options pricing under uncertain volatility model
Journal of Inequalities and Applications, 2019 In this paper, we consider the pricing problem of options with counterparty default risks. We study the asymptotic behavior of vulnerable option prices in the worst case scenario under an uncertain volatility model which contains both corporate assets ...
Qing Zhou, Xiaonan Li
doaj +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