Effects of the Fractional Black-Scholes Model on LEAPS options contracts [PDF]
In recent decades, the valuation of derivative products is a topic that has increasingly caught the interest of investors, whether due to the potential leveraged profits obtained from the incorrect valuation of these contracts or, in some cases, due to ...
Rodrigues, Francisco Manuel Pereira Correia de Cardoso
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Learning variable-order time fractional diffusion equations using Physics-Informed Neural Networks. [PDF]
PLoS OneRen L, Jin S.
europepmc +1 more source
Random Neural Networks for Rough Volatility. [PDF]
Appl Math OptimJacquier A, Žurič Ž.
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On the fractional Black-Scholes market with transaction costs [PDF]
We 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.
Ehsan Azmoodeh
core
A Physics Informed Neural Network (PINN) framework for fractional order modeling of Alzheimer's disease. [PDF]
Front NeuroinformMehmood A +5 more
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Impact of rough stochastic volatility models on long-term life insurance pricing. [PDF]
Eur Actuar J, 2023 Dupret JL, Barbarin J, Hainaut D.
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Modeling and analysis of fascioliasis disease with Katugampola fractional derivative: a memory-incorporated epidemiological approach. [PDF]
Sci RepPandey RK, Nisar KS.
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Pricing of geometric Asian options in the Volterra-Heston model. [PDF]
Rev Deriv Res (Dordr)Aichinger F, Desmettre S.
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Variational quantum evolution equation solver. [PDF]
Sci Rep, 2022 Leong FY, Ewe WB, Koh DE.
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Distribution Approach to Local Volatility for European Options in the Merton Model with Stochastic Interest Rates. [PDF]
Entropy (Basel)Nowak P, Gatarek D.
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