Application of the Laplace Homotopy Perturbation Method to the Black–Scholes Model Based on a European Put Option with Two Assets [PDF]
Mathematics, 2019 In this paper, the Laplace homotopy perturbation method (LHPM) is applied to obtain the approximate solution of Black–Scholes partial differential equations for a European put option with two assets.
Din Prathumwan, Kamonchat Trachoo
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On the solution of two-dimensional fractional Black–Scholes equation for European put option [PDF]
Advances in Difference Equations, 2020 The purpose of this paper was to investigate the dynamics of the option pricing in the market through the two-dimensional time fractional-order Black–Scholes equation for a European put option.
Din Prathumwan, Kamonchat Trachoo
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International Journal of Analysis and Applications, 2022 This paper proposes a framework based on the celebrated transform of Mellin type (MT) for the direct solution of the Black-Scholes-Merton European Put Option Model (BSMEPOM) on Dividend Yield (DY) with Modified-Log Payoff Function (MLPF) under the ...
S.E. Fadugba +4 more
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International Journal of Analysis and Applications, 2023 This paper proposes a framework based on the celebrated transform of Mellin type (MT) for the analytic solution of the Black-Scholes-Merton European Power Put Option Model (BSMEPPOM) on Dividend Yield (DY) with Modified-Log-Power Payoff Function (MLPPF ...
S.E. Fadugba +4 more
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Deep Learning in Financial Modeling: Predicting European Put Option Prices with Neural Networks
AlgorithmsThis paper explores the application of deep neural networks (DNNs) as an alternative to the traditional Black–Scholes model for predicting European put option prices.
Zakaria Elbayed +1 more
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Numerical Solution of European Put Option for Black-Scholes Model Using Keller Box Method
Jurnal Matematika UNANDIn this study, we propose to determine option pricing by using Black-Scholes model numerically. The Keller box method, a numerical method with a box-shaped implicit scheme, is chosen to solve the problem of pricing stock options, especially European-put ...
Lutfi Mardianto +3 more
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Wind Put Barrier Options Pricing Based on the Nordix Index
Energies, 2021 Wind power generators face risks derived from fluctuations in market prices and variability in power production, generated by their high dependence on wind speed. These risks could be hedged using weather financial instruments.
Yeny E. Rodríguez +2 more
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Pricing European Options under a Fuzzy Mixed Weighted Fractional Brownian Motion Model with Jumps
Fractal and Fractional, 2023 This study investigates the pricing formula for European options when the underlying asset follows a fuzzy mixed weighted fractional Brownian motion within a jump environment.
Feng Xu, Xiao-Jun Yang
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A numerical method for solving the underlying price problem driven by a fractional Levy process [PDF]
Mathematics and Modeling in Finance, 2022 We consider European style options with risk-neutral parameters and time-fractional Levy diffusion equation of the exponential option pricing model in this paper.
Tayebeh Nasiri +2 more
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EUROPEAN PUT OPTION PRICING MODEL WITH GRAM-CHARLIER EXPANSION IN THIRD MOMENTS
Perwira Journal of Science & Engineering, 2022 The Black-Scholes model is one of the most popular and widely applied option pricing models in both academic and practical contexts developed by Black and Scholes (1973). The practical assumption in the Black-Scholes model is stock return following the normal distribution with constant volatility.
null Rifki Chandra Utama +2 more
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