Results 31 to 40 of about 402,189 (237)

Conditional-Mean Hedging Under Transaction Costs in Gaussian Models [PDF]

, 2017
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions.
Sottinen, Tommi, Viitasaari, Lauri
core   +2 more sources

Analytical Solutions for Fractional Black-Scholes European Option Pricing Equation by Using Homotopy Perturbation Method with Caputo Fractional Derivative

Mathematical Modelling of Engineering Problems
A. Alqahtani, H. Mihoubi
semanticscholar   +2 more sources

Analytical Investigation of Some Time-Fractional Black–Scholes Models by the Aboodh Residual Power Series Method

Mathematics, 2023
In this study, we use a new approach, known as the Aboodh residual power series method (ARPSM), in order to obtain the analytical results of the Black–Scholes differential equations (BSDEs), which are prime for judgment of European call and put options ...
M. Liaqat, A. Akgül, Hanaa Abu-Zinadah
semanticscholar   +1 more source

Novel Approaches for Getting the Solution of the Fractional Black–Scholes Equation Described by Mittag-Leffler Fractional Derivative

Discrete Dynamics in Nature and Society, 2020
The value of an option plays an important role in finance. In this paper, we use the Black–Scholes equation, which is described by the nonsingular fractional-order derivative, to determine the value of an option. We propose both a numerical scheme and an
Ndolane Sene, Babacar Sène, Seydou Nourou Ndiaye, Awa Traoré   +3 more
doaj   +1 more source

Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform [PDF]

, 2013
The homotopy perturbation method, Sumudu transform, and He’s polynomials are combined to obtain the solution of fractional Black-Scholes equation. The fractional derivative is considered in Caputo sense.
Elbeleze, Asma Ali, Kilicman, Adem, M. Taib, Bachok   +2 more
core   +3 more sources

Numerical solution of ψ-Hilfer fractional Black–Scholes equations via space–time spectral collocation method

Alexandria Engineering Journal, 2023
Trivially, the time-fractional Black–Scholes (FBS) equation is utilized to describe the behavior of the option pricing in financial markets. This work is intended as an attempt to introduce the ψ-Hilfer fractional Black–Scholes (ψ-HFBS) equation.
F. Mohammadizadeh, S.G. Georgiev, G. Rozza, E. Tohidi, S. Shateyi   +4 more
doaj   +1 more source

Parameter estimation for time-fractional Black-Scholes equation with S &P 500 index option

Numerical Algorithms, 2023
This paper aims to estimate the parameters of the time-fractional Black-Scholes (TFBS) partial differential equation with the Caputo fractional derivative by using the real option prices of the S &P 500 index options.
Xingyu An, Q. Wang, Fawang Liu, V. Anh, Ian L Turner   +4 more
semanticscholar   +1 more source

Quasi-likelihood estimation in a mixed fractional Black-Scholes model

Probability, Uncertainty and Quantitative Risk
Litan Yan, Wenhan Lu, Junjie Xia
semanticscholar   +3 more sources

A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model [PDF]

International Journal of Computational Mathematics, 2023
The Black–Scholes (B–S) equation has been recently extended as a kind of tempered time-fractional B–S equations, which becomes an interesting mathematical model in option pricing.
Jinfeng Zhou, Xianming Gu, Jinye Shen, Yong-Liang Zhao, Hu Li   +4 more
semanticscholar   +1 more source

An Efficient Numerical Method for Pricing Double-Barrier Options on an Underlying Stock Governed by a Fractal Stochastic Process

Fractal and Fractional, 2023
After the discovery of the fractal structures of financial markets, enormous effort has been dedicated to finding accurate and stable numerical schemes to solve fractional Black-Scholes partial differential equations.
Samuel Megameno Nuugulu, Frednard Gideon, Kailash C. Patidar   +2 more
doaj   +1 more source