Results 111 to 120 of about 3,326,697 (175)

RISK-FREE INTERNAL GAINS – BLACK AND SCHOLES RE-EXAMINED [PDF]

In this paper we first show that if a not-necessarily-self-financing portfolio has instantaneously riskless internal gains, then on an infinitesimal time-interval, the increase in the internal gains on the portfolio is the same as the change in the price
Gergei Bana
core  

Learning variable-order time fractional diffusion equations using Physics-Informed Neural Networks. [PDF]

PLoS One
Ren L, Jin S.
europepmc   +1 more source

Impact of rough stochastic volatility models on long-term life insurance pricing. [PDF]

Eur Actuar J, 2023
Dupret JL, Barbarin J, Hainaut D.
europepmc   +1 more source

Random Neural Networks for Rough Volatility. [PDF]

Appl Math Optim
Jacquier A, Žurič Ž.
europepmc   +1 more source

Optimal approximations for the free boundary problems of the space-time fractional Black-Scholes equations using a combined physics-informed neural network. [PDF]

Sci Rep
Song L, Tan Y, Yu F, Luo Y, Zheng J.
europepmc   +1 more source

Physics-informed neural networks with caputo-fabrizio derivatives for nonlinear fractal-fractional delay equations and chaotic systems. [PDF]

Sci Rep
Khan H, Sulaiman M, Laouini G, Rahman IU, Salman MA.   +4 more
europepmc   +1 more source

P A STOCHASTIC BLACK-SCHOLES EQUATION WITH TIME-FRACTIONAL DERIVATIVE ON THE HALF-LINE

, 2016
: We investigate the pricing of options using a modified Black-Scholes equation with a time-fractional derivative and additive white noise on the half-line. We construct the Green function for the initial-boundary value problem adapting the main ideas of
F J Ariza-Hernandez, J C Hernandez-Pastrana, §, J Sanchez-Ortiz, M P Arciga-Alejandre   +4 more
core  

Application of water based drilling clay-nanoparticles in heat transfer of fractional Maxwell fluid over an infinite flat surface. [PDF]

Sci Rep, 2021
Asjad MI, Ali R, Iqbal A, Muhammad T, Chu YM.   +4 more
europepmc   +1 more source

Modeling and analysis of fascioliasis disease with Katugampola fractional derivative: a memory-incorporated epidemiological approach. [PDF]

Sci Rep
Pandey RK, Nisar KS.
europepmc   +1 more source

Pricing of geometric Asian options in the Volterra-Heston model. [PDF]

Rev Deriv Res (Dordr)
Aichinger F, Desmettre S.
europepmc   +1 more source