Quantum effects in an expanded Black-Scholes model. [PDF]
Eur Phys J B, 2022 Bhatnagar A, Vvedensky DD.
europepmc +1 more source
Solution to a nonlinear Black-Scholes equation
Electronic Journal of Differential Equations, 2011 Summary: Option pricing with transaction costs leads to a nonlinear Black-Scholes type equation where the nonlinear term reflects the presence of transaction costs. Under suitable conditions, we prove the existence of weak solutions in a bounded domain and we extend the results to the whole domain using a diagonal process.
Maria Cristina Mariani +2 more
openaire +2 more sources
Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
Computers and Mathematics with Applications, 2015 Wenting Chen, Xiang Xu, Song‐Ping Zhu
semanticscholar +1 more source
Simulating the non-Hermitian dynamics of financial option pricing with quantum computers. [PDF]
Sci RepKumar S, Wilmott CM.
europepmc +1 more source
Random Neural Networks for Rough Volatility. [PDF]
Appl Math OptimJacquier A, Žurič Ž.
europepmc +1 more source
Environmental Pollution Liability Insurance Pricing and the Solvency of Insurance Companies in China: Based on the Black-Scholes Model. [PDF]
Int J Environ Res Public Health, 2023 Chen S, Yang J.
europepmc +1 more source
Stochastic and Statistical Analysis of Cnoidal, Snoidal, Dnoidal, Hyperbolic, Trigonometric and Exponential Wave Solutions of a Coupled Volatility Option-Pricing System. [PDF]
Entropy (Basel)Abdalgadir LM +3 more
europepmc +1 more source
Exploring nonlinear chaotic systems with applications in stochastic processes. [PDF]
Sci RepAbdelwahed HG +5 more
europepmc +1 more source
RABEM: risk-adaptive Bayesian ensemble model for fraud detection. [PDF]
Sci RepAlmarshad FA +3 more
europepmc +1 more source
Distribution Approach to Local Volatility for European Options in the Merton Model with Stochastic Interest Rates. [PDF]
Entropy (Basel)Nowak P, Gatarek D.
europepmc +1 more source