Results 91 to 100 of about 3,326,697 (175)

Solving the Black-Scholes Partial Differential Equation via the Solution Method for a One-Dimensional Heat Equation: A Pedagogic Approach with a Spreadsheet-Based Illustration [PDF]

, 2019
The derivation of the Black-Scholes option pricing model, if covered in detail, is by far the most complicated among all major models in the finance curriculum.
Clarence C. Y. Kwan
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Invariant solutions of the Black-Scholes equation [PDF]

, 2022
Dissertation (MSc (Applied Mathematics))--University of Pretoria, 2022.In this study, we discuss derivatives, Lie symmetries and invariant solutions of the Black Scholes equation.

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Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation [PDF]

A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs.
Michel Fournié, Ansgar Jüngel, Bertram Düring   +2 more
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Barrier Options and a Reflection Principle of the Fractional Brownian Motion [PDF]

The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion.fractional
Cipian Necula
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Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model [PDF]

For option whose striking price equals the forward price of the underlying asset, the Black-Scholes pricing formula can be approximated in closed-form. A interesting result is that the derived equation is not only very simple in structure but also that ...
paolo pianca
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Black-Scholes Equation and Heat Equation [PDF]

, 2016
First, we present and define the Black-Scholes equation which is used to model assets on the stock market. After that, we derive the heat equation that describes how the temperature increases through a homogeneous material. Finally, we detail how the two
Joyner, Charles D
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The Quantum Black-Scholes equation [PDF]

, 2006
Motivated by the work of Segal and Segal in \cite{5} on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus,.
Accardi, L, Boukas, A., Boukas, A, ACCARDI, LUIGI   +3 more
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Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks [PDF]

In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till ...
Michaela Vlasáková Baruníková
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Solving fractional black-scholes eruopean option pricing equations by aboodh transform decomposition method

, 2020
In this paper we apply the Aboodh transform decomposition method to solve fractional Black- Scholes equation. This method is a mixture between Aboodh transform and Adomian decomposition method, we use this method to solve Black -Scholes equation with ...
Ekeland I., Alfaqeih S., Özış T.
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Fractional Black–Scholes Under Memory Effects: A Sixth-Order Local RBF–FD Scheme with Integrated Multiquadric Kernels

Axioms
In this work, a high-order meshless framework is developed for the numerical resolution of the temporal–fractional Black–Scholes equation arising in option pricing with long-memory effects.
Yutong Li, Mingqian Zhang, Ruosong Cao, Tao Liu, Xiaoxi Hu, Yakun Li   +5 more
doaj   +1 more source