Results 101 to 110 of about 2,314 (173)

Efficient High-Accuracy Numerical Scheme for the Solution of Time Fractional Parabolic Partial Differential Equations With Application in Financial Modeling

Journal of Mathematics
Parabolic partial equations, particularly the Black–Scholes equation, are fundamental in mathematical finance for option pricing and risk management. Despite their widespread use, efficiently solving these equations remains a challenge, especially in ...
Hadis Azin, Ali Iloon Kashkooly
doaj   +1 more source

Numerical investigation of the fractional diffusion wave equation with exponential kernel via cubic B-Spline approach. [PDF]

PLoS One, 2023
Shafiq M, Abbas M, Emadifar H, Alzaidi AS, Nazir T, Aini Abdullah F.   +5 more
europepmc   +1 more source

An optimization method for studying fractional-order tuberculosis disease model via generalized Laguerre polynomials. [PDF]

Soft comput, 2023
Avazzadeh Z, Hassani H, Agarwal P, Mehrabi S, Ebadi MJ, Dahaghin MS.   +5 more
europepmc   +1 more source

Stability analysis of stochastic systems with fractional dynamics

Journal of Low Frequency Noise, Vibration and Active Control
This paper investigates the stability properties of stochastic functional differential equations driven by fractional Brownian motion (FBM), a natural extension of classical Brownian motion that incorporates memory effects through the Hurst parameter. By
Nabil A. Ibrahim, Islam M. Elbaz, Hesham G. Abdelwahed, Ali A. El-Rahman, Mahmoud A. E. Abdelrahman, Mohamed A. Sohaly   +5 more
doaj   +1 more source

Fundamental Black–Scholes Model, Fractional Binary Approximation, No-Arbitrage, and Completeness

Journal of Mathematics
Sottinen (2001) constructed a binary model approximating the Black–Scholes (B-S) model driven by fractional Brownian motion using its Donsker’s type approximation.
Bogny Kenfack Bob James, Mbele Bidima Martin Le Doux   +1 more
doaj   +1 more source

An empirical application of Black and Scholes option pricing with fractional Brownian motion [PDF]

, 2018
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018This thesis examines the empirical properties of a fractional Black and Scholes model developed by Röstek and Schobel.
Paulshus, Ove, Ramic, Armin
core  

A hybrid method for solution of the fractional black-scholes equation [PDF]

Bu tez çalışmasında, kesirli mertebeden türeve sahip Black-Scholes (BS) opsiyon fiyatlama denkleminin Conformable Laplace Ayrışım Yöntemi (CLAY) ile çözümüne yer verilmiştir.
Özçiftçi, Ayşe
core  

Application of water based drilling clay-nanoparticles in heat transfer of fractional Maxwell fluid over an infinite flat surface. [PDF]

Sci Rep, 2021
Asjad MI, Ali R, Iqbal A, Muhammad T, Chu YM.   +4 more
europepmc   +1 more source

Fractional smoothness and applications in Finance [PDF]

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.
Stefan Geiss, Emmanuel Gobet
core  

Risk preference based option pricing in a fractional Brownian market [PDF]

We focus on a preference based approach when pricing options in a market driven by fractional Brownian motion. Within this framework we derive formulae for fractional European options using the traditional idea of conditional expectation.
Rostek, Stefan, Schöbel, Rainer
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