Results 81 to 90 of about 402,189 (237)
A robust numerical solution to a time-fractional Black–Scholes equation
Advances in Difference Equations, 2021 Dividend paying European stock options are modeled using a time-fractional Black–Scholes (tfBS) partial differential equation (PDE). The underlying fractional stochastic dynamics explored in this work are appropriate for capturing market fluctuations in ...
S. M. Nuugulu, F. Gideon, K. C. Patidar
doaj +1 more source
Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.This study presents an innovative nonlinear fractional‐order financial model that employs Caputo and Caputo–Fabrizio fractional derivatives to represent the dynamic interactions among interest rates, investment demand, price indices, and income/output. The model is formulated as a system of coupled nonlinear differential equations to encapsulate memory‐
Md. Asraful Islam +3 more
wiley +1 more source
Nonlinear Engineering, 2016 In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation.
Ravi Kanth A.S.V., Aruna K.
doaj +1 more source
Option Pricing in a Fractional Brownian Motion Environment [PDF]
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian ...
Cipian Necula
core
An Efficient Numerical Model for the Black–Scholes Equations
Journal of Applied Mathematics, Volume 2026, Issue 1, 2026.In this paper, a novel numerical model for the Black–Scholes equations is developed. To address some potential issues that may arise when solving this equation using the conventional model, the original Black–Scholes equation is reformulated as a convection–diffusion equation. The Crank–Nicolson scheme is utilized to discretize the diffusion and source
Yan Zhou, Yunxing Zhang, Yufeng Xu
wiley +1 more source
A Framework for Derivative Pricing in the Fractional Black-Scholes Market [PDF]
The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
core
Pricing European and Barrier Options in the Fractional Black-Scholes Market [PDF]
The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
core
Precise asymptotics: robust stochastic volatility models
, 2018 We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices.
Friz, Peter K. +2 more
core +3 more sources
Tournament incentives and reserve management
Risk Management and Insurance Review, Volume 28, Issue 4, Page 499-533, Winter 2025.Abstract This paper examines the impact of internal tournament incentives on reserve management within the property‐liability insurance industry. We find a positive relationship between internal tournament incentives and reserve errors, suggesting that a larger tournament prize is associated with more conservative loss‐reserve management.
Gene Lai +3 more
wiley +1 more source
Robust option replication for a Black-Scholes model extended with nondeterministic trends [PDF]
, 2012 Statistical analysis on various stocks reveals long range dependence behavior of the stock prices that is not consistent with the classical Black and Scholes model.
Kloeden, Peter E. +1 more
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