Results 41 to 50 of about 402,189 (237)

Option valuation in markets with finite liquidity under fractional CEV assets [PDF]

Mathematics and Modeling in Finance, 2022
‎The aim of this paper is to numerically price the European double barrier option by calculating the governing fractional Black-Scholes equation in illiquid markets‎.
Azadeh Ghasemifard, Seddigheh Banihashemi, Afshin Babaei   +2 more
doaj   +1 more source

Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets [PDF]

, 2014
We study the arbitrage opportunities in the presence of transaction costs in a sequence of binary markets approximating the fractional Black-Scholes model. This approximating sequence was constructed by Sottinen and named fractional binary markets. Since,
Cordero, Fernando, Perez-Ostafe, Lavinia
core   +1 more source

On the solution of two-dimensional fractional Black–Scholes equation for European put option

Advances in Difference Equations, 2020
The purpose of this paper was to investigate the dynamics of the option pricing in the market through the two-dimensional time fractional-order Black–Scholes equation for a European put option.
Din Prathumwan, Kamonchat Trachoo
doaj   +1 more source

Shadow Price Approximation for the Fractional Black Scholes Model

International Journal of Mathematics and Mathematical Sciences, 2022
In this work, we used Tran Hung Thao’s approximation of fractional Brownian motion to approximate the shadow price of the fractional Black Scholes model.
Dolemweogo Sibiri Narcisse, Béré Frédéric, Nitiéma Pierre Clovis   +2 more
doaj   +1 more source

Fractional variational iteration method and its application to fractional partial differential equation [PDF]

, 2013
We use the fractional variational iteration method (FVIM) with modified Riemann-Liouville derivative to solve some equations in fluid mechanics and in financial models. The fractional derivatives are described in Riemann-Liouville sense.
Elbeleze, Asma Ali, Kilicman, Adem, M. Taib, Bachok   +2 more
core   +2 more sources

A high-order and fast scheme with variable time steps for the time-fractional Black-Scholes equation [PDF]

, 2021
Kerui Song, Pin Lyu
openalex   +3 more sources

On Comparative Analysis for the Black-Scholes Model in the Generalized Fractional Derivatives Sense via Jafari Transform

Journal of Function Spaces, 2021
The Black-Scholes model is well known for determining the behavior of capital asset pricing models in the finance sector. The present article deals with the Black-Scholes model via the Caputo fractional derivative and Atangana-Baleanu fractional ...
Saima Rashid, Sobia Sultana, Rehana Ashraf, Mohammed K. A. Kaabar   +3 more
doaj   +1 more source

Using a Mix of Finite Difference Methods and Fractional Differential Transformations to Solve Modified Black–Scholes Fractional Equations

Mathematics
This paper discusses finding solutions to the modified Fractional Black–Scholes equation. As is well known, the options theory is beneficial in the stock market.
Agus Sugandha, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +1 more source

Nonuniform Finite Difference Scheme for the Three-Dimensional Time-Fractional Black–Scholes Equation

Journal of Function Spaces, 2021
In this study, we present an accurate and efficient nonuniform finite difference method for the three-dimensional (3D) time-fractional Black–Scholes (BS) equation.
Sangkwon Kim, Chaeyoung Lee, Wonjin Lee, Soobin Kwak, Darae Jeong, Junseok Kim   +5 more
doaj   +1 more source

Fractional constant elasticity of variance model

, 2006
This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility.
Chan, Ngai Hang, Ng, Chi Tim
core   +2 more sources