Results 91 to 100 of about 2,314 (173)

Review of the Fractional Black-Scholes Equations and Their Solution Techniques

Fractal and Fractional
The pioneering work in finance by Black, Scholes and Merton during the 1970s led to the emergence of the Black-Scholes (B-S) equation, which offers a concise and transparent formula for determining the theoretical price of an option. The establishment of
Hongmei Zhang, Mengchen Zhang, Fawang Liu, Ming Shen   +3 more
doaj   +1 more source

Kesirli black scholes opsiyon fiyatlandırma yaklaşımlarının incelenmesi ve uygulamaları. [PDF]

, 2015
One of the fundamental research areas in the financial mathematics is option pricing. With the emergence of Black-Scholes model, the partial differential equations (PDE) for option pricing have started to be used widely. PDEs are adopted for both finding
Hergüner, Ecem
core  

European option pricing under a MSBfBM-Vasicek model: Empirical analysis from the SSE 300ETF and 50ETF of China

International Review of Economics & Finance
As a core instrument in China’s financial derivatives market, the scientific pricing of SSE 50ETF options is crucial for market stability and investment decision-making.
Yanni Zhang, Guitian He, Yinyan Gan, Juncong Lai   +3 more
doaj   +1 more source

The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application [PDF]

The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Frederiksen, Per H., Høg, Espen P.
core  

Quantum effects in an expanded Black-Scholes model. [PDF]

Eur Phys J B, 2022
Bhatnagar A, Vvedensky DD.
europepmc   +1 more source

Closed-Form Pricing of European Call Options Under a Sub-Mixed Fractional Brownian Motion with Jumps via Three Pricing Approaches

Mathematics
The Black–Scholes model laid the mathematical foundation for modern option pricing; however, its assumptions—stationary, independent, and Gaussian returns—are frequently violated in real markets, where long-memory volatility and sudden price jumps are ...
Kai Zhang, Lingfei Chen, Xinmiao Zhou, Yuanxin Li, Pingling Cai, Zhihong Wang   +5 more
doaj   +1 more source

Pricing callable bonds and optimal callable time under the Fractional Black-Scholes market

Electronic Journal of Differential Equations
This article concerns the pricing of callable bonds and the determination of optimal call time under the fractional Black-Scholes model. By employing a discrete approximation of the continuous asset price process, we efficiently estimate the continuation
Yuecai Han, Yinong Wu, Xudong Zheng
doaj  

An Efficient Numerical Scheme for a Time-Fractional Black–Scholes Partial Differential Equation Derived from the Fractal Market Hypothesis

Fractal and Fractional
Since the early 1970s, the study of Black–Scholes (BS) partial differential equations (PDEs) under the Efficient Market Hypothesis (EMH) has been a subject of active research in financial engineering.
Samuel M. Nuugulu, Frednard Gideon, Kailash C. Patidar   +2 more
doaj   +1 more source

Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment. [PDF]

Entropy (Basel), 2023
Nowak P, Pawłowski M.
europepmc   +1 more source

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

, 2013
peer reviewedWe consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}$ between trading times.
AZMOODEH, Ehsan
core