Results 91 to 100 of about 402,189 (237)

Fractional smoothness and applications in finance

, 2010
This overview article concerns the notion of fractional smoothness of random variables of the form $g(X_T)$, where $X=(X_t)_{t\in [0,T]}$ is a certain diffusion process.
A. Friedman, B. Bouchard, C. Bennet, C. Geiss, C. Geiss, D. Nualart, E. Gobet, E. Gobet, E. Gobet, E. Temam, F. Hirsch, H. Rootzen, I. Karatzas, J. Bergh, J. Jacod, J. Jacod, J. Zhang, J.P. Lemor, M. Hujo, N. El Karoui, N. Taleb, R. Avikainen, S. Geiss, S. Geiss, S. Geiss, S. Watanabe, T. Hayashi, T.G. Kurtz   +27 more
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Fractional diffusion models of option prices in markets with jumps. [PDF]

Most of the recent literature dealing with the modeling of financial assets assumes that the underlying dynamics of equity prices follow a jump process or a Lévy process. This is done to incorporate rare or extreme events not captured by Gaussian models.
Cartea, Álvaro, Castillo Negrete, Diego del   +1 more
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The Numerical Solution of Fractional Black-Scholes-Schrodinger Equation Using the RBFs Method

Advances in Mathematical Physics, 2020
In this paper, radial basis functions (RBFs) method was used to solve a fractional Black-Scholes-Schrodinger equation in an option pricing of financial problems. The RBFs method is applied in discretizing a spatial derivative process.
Naravadee Nualsaard, Anirut Luadsong, Nitima Aschariyaphotha   +2 more
doaj   +1 more source

Barrier Options and a Reflection Principle of the Fractional Brownian Motion [PDF]

The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion.fractional
Cipian Necula
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Long Memory Options: Valuation [PDF]

This paper graphically demonstrates the significant impact of the observed financial market persistence, i.e., long term memory or dependence, on European option valuation.
CORNELIS A. LOS, SUTTHISIT JAMDEE
core  

New Solutions of Time- and Space-Fractional Black–Scholes European Option Pricing Model via Fractional Extension of He-Aboodh Algorithm

Journal of mathematics
The current study explores the space and time-fractional Black–Scholes European option pricing model that primarily occurs in the financial market.
Mubashir Qayyum, Efaza Ahmad
semanticscholar   +1 more source

On the fractional Black-Scholes market with transaction costs [PDF]

, 2010
Ehsan Azmoodeh
openalex   +1 more source

Numerical Solution of Time Fractional Black–Scholes Model Based on Legendre Wavelet Neural Network with Extreme Learning Machine [PDF]

, 2022
Xiaoning Zhang, Jianhui Yang, Yuxin Zhao
openalex   +1 more source

Implicit cubic B-spline scheme for the fractional Black-Scholes model with Caputo-Hadamard derivative [PDF]

Journal of Mahani Mathematical Research
In this study, we introduce a novel numerical scheme for solving the Black–Scholes equation endowed with a Caputo-Hadamard fractional time derivative. The temporal derivative is discretized via a finite-difference approach, ensuring both stability and ...
Roya Montazeri
doaj   +1 more source

Long Memory Options: LM Evidence and Simulations [PDF]

This paper demonstrates the impact of the observed financial market persistence or long term memory on European option valuation by simple simulation. Many empirical researchers have observed the non-Fickian degrees of persistence or long memory in the ...
Cornelis A. Los, Sutthisit Jamdee
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