Results 81 to 90 of about 2,314 (173)

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   +1 more source

The Numerical Solution of Fractional Black-Scholes-Schrodinger Equation Using the RBFs Method

Advances in Mathematical Physics, 2020
In this paper, radial basis functions (RBFs) method was used to solve a fractional Black-Scholes-Schrodinger equation in an option pricing of financial problems. The RBFs method is applied in discretizing a spatial derivative process.
Naravadee Nualsaard, Anirut Luadsong, Nitima Aschariyaphotha   +2 more
doaj   +1 more source

The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option [PDF]

, 2016
In recent years, the Finite Moment Log Stable(FMLS), KoBoL and CGMY models, which follow a jump process or a Lévy process, have become the most popular modeling frameworks in the financial field because they can capture some of the important ...
Turner, I., Zhang, H., Liu, F., Chen, S.
core   +1 more source

Fractional Black-Scholes models: complete MLE with application to fractional option pricing [PDF]

, 2010
Geometric fractional Brownian motion (GFBM) is an extended model of the traditional geometric Brownian motion that is widely used for Black-Scholes option pricing. By considering GFBM, we are now able to capture the memory dependency.
Teo, K., Misiran, Masnita, Misiran, M., Lu, Z., Teo, Kok Lay   +4 more
core  

Fuzzy Pricing and Empirical Analysis of Binary Options Under Long Memory

Axioms
To address the limitations of traditional binary option pricing models in capturing the long-range dependence characteristics of financial time series and in neglecting the cognitive fuzziness of parameters, this paper proposes an innovative pricing ...
Tao Yu, Zhuoxi Yu, Xianwei Lin, Zhiqiang Hua   +3 more
doaj   +1 more source

Black-Scholes models of option pricing [PDF]

, 2013
Title: Black-Scholes Models of Option Pricing Author: Martin Cekal Department: Department of Probability and Mathematical Statistics Supervisor: prof. RNDr.
Čekal, Martin
core  

The Fractional OU Process: Term Structure Theory and Application [PDF]

The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Esben Hoeg, Per Frederiksen
core  

Quasi-Likelihood Estimation in the Fractional Black–Scholes Model

Mathematics
In this paper, we consider the parameter estimation for the fractional Black–Scholes model of the form StH=S0H+μ∫0tSsHds+σ∫0tSsHdBsH, where σ>0 and μ∈R are the parameters to be estimated. Here, BH={BtH,t≥0} denotes a fractional Brownian motion with Hurst
Wenhan Lu, Litan Yan, Yiang Xia
doaj   +1 more source

A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model. [PDF]

Comput Econ, 2023
Kharrat M, Arfaoui H.
europepmc   +1 more source

Stochastic Temperature Modeling Using the Ornstein-Uhlenbeck Process for Fractional Dimensional Weather Derivative Pricing in Climate Risk Management

Mathematics
Temperature variability and weather-related fluctuations significantly affect the energy, agricultural, and industrial sectors that are highly sensitive to meteorological changes.
Sukono, Gumgum Darmawan, Muhamad Deni Johansyah, Igif Gimin Prihanto, Hadi Kardoyo, Hendy Gunawan, Syafrizal Maludin, Astrid Sulistya Azahra, Moch Panji Agung Saputra, Norizan Mohamed   +9 more
doaj   +1 more source