Results 11 to 20 of about 402,189 (237)

Analysis of fractional Black-Scholes, Ornstein-Uhlenbeck, and Langevin models: a minimum distance estimation approach

Gulf Journal of Mathematics
The present research investigates parameter estimation in fractional stochastic models, specifically the Fractional Black-Scholes, Fractional Ornstein-Uhlenbeck, and Fractional Langevin models.
H. G. Izaddine, S. Deme, A. S. Dabye
semanticscholar   +3 more sources

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   +2 more sources

Numerical Solution of Fractional Black-Scholes Equation by Using Radial Basis Function (RBF) Approximation Method

پژوهش‌های ریاضی, 2020
Introduction Fractional Differential Calculus (FDC) began in the 17th century and its initial discussions were related to the works of Leibniz, Lagrange, Abel and others.
Sedighe Sharifian, Ali R. Siheili, A. Neisy   +2 more
doaj   +2 more sources

A High-Order Numerical Method Based on a Spatial Compact Exponential Scheme for Solving the Time-Fractional Black–Scholes Model

Fractal and Fractional
This paper investigates a high-order numerical method based on a spatial compact exponential scheme for solving the time-fractional Black–Scholes model.
Xinhao Huang, Bo Yu
doaj   +2 more sources

Series form solutions of time–space fractional Black–Scholes model via extended He-Aboodh algorithm

Alexandria Engineering Journal
The objective of the current study is analyze linear and nonlinear time–space fractional Black–Scholes models via modified homotopy perturbation method (m-HPM). In current investigation, memory effects in financial markets are explored through fractional
Mubashir Qayyum, Efaza Ahmad, Ferdous M. Tawfiq, Zabidin Salleh, Syed Tauseef Saeed, Mustafa Inc   +5 more
doaj   +2 more sources

A Novel Fourth-Order Finite Difference Scheme for European Option Pricing in the Time-Fractional Black–Scholes Model

Mathematics
This paper addresses the valuation of European options, which involves the complex and unpredictable dynamics of fractal market fluctuations. These are modeled using the α-order time-fractional Black–Scholes equation, where the Caputo fractional ...
Xin Cai, Yihong Wang
doaj   +2 more sources

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   +2 more sources

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   +3 more sources

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   +2 more sources

A New Solution to the Fractional Black–Scholes Equation Using the Daftardar-Gejji Method

Mathematics, 2023
The main objective of this study is to determine the existence and uniqueness of solutions to the fractional Black–Scholes equation. The solution to the fractional Black–Scholes equation is expressed as an infinite series of converging Mittag-Leffler ...
Agus Sugandha, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +1 more source