Results 101 to 110 of about 402,189 (237)

Quasi-Likelihood Estimation in the Fractional Black–Scholes Model

Mathematics
In this paper, we consider the parameter estimation for the fractional Black–Scholes model of the form StH=S0H+μ∫0tSsHds+σ∫0tSsHdBsH, where σ>0 and μ∈R are the parameters to be estimated. Here, BH={BtH,t≥0} denotes a fractional Brownian motion with Hurst
Wenhan Lu, Litan Yan, Yiang Xia
doaj   +1 more source

A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model. [PDF]

Comput Econ, 2023
Kharrat M, Arfaoui H.
europepmc   +1 more source

Determining The Value-at-risk In The Shadow Of The Power Law: The Case Of The SP-500 Index [PDF]

In extant financial market models, including the Black-Scholes’ contruct, the dramatic events of October 1987 and August 2007 are totally unexpected, because these models are based on the assumptions of ‘independent price fluctuations’ and the existence ...
Des Rosiers, Francois, Dominique, C-Rene, Rivera-Solis, Luis Eduardo   +2 more
core   +1 more source

Spectral Solutions for Fractional Black–Scholes Equations [PDF]

, 2022
M. A. Abdelkawy, António M. Lopes
openalex   +1 more source

RANDOM WALKS AND FRACTAL STRUCTURES IN AGRICULTURAL COMMODITY FUTURES PRICES [PDF]

This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are ...
Turvey, Calum G.
core   +1 more source

Laplace Decomposition Method for Solving Fractional Black-Scholes European Option Pricing Equation

, 2020
Abiodun Ezekiel Owoyemi, Ira Sumiati, Endang Rusyaman, Sukono Sukono   +3 more
openalex   +3 more sources

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

Time-Changed Fractional Black-Scholes Interest Rate Model for Pricing Equity Warrants

, 2021
Foad Shokrollahi, Marcin Magdziarz
openalex   +1 more source

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

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

A Robust numerical technique based on the chromatic polynomials for the European options regulated by the time-fractional Black–Scholes equation

Journal of Umm Al-Qura University for Applied Sciences
Risk mitigation and control are critical for investors in the finance sector. Purchasing significant instruments that eliminate the risk of price fluctuation helps investors manage these risks.
A. Nirmala, S. Kumbinarasaiah
semanticscholar   +1 more source