Results 21 to 30 of about 4,806 (143)
Martingale Option Pricing [PDF]
, 2007 We show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price.
Bassler, K. E. +2 more
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Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method
Abstract and Applied Analysis, 2013 This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative.
Lina Song, Weiguo Wang
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Novel ANN Method for Solving Ordinary and Time-Fractional Black–Scholes Equation
Complexity, 2021 The main aim of this study is to introduce a 2-layered artificial neural network (ANN) for solving the Black–Scholes partial differential equation (PDE) of either fractional or ordinary orders.
Saeed Bajalan, Nastaran Bajalan
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Networks and Heterogeneous Media, 2023 In this paper, two high-order compact difference schemes with graded meshes are proposed for solving the time-fractional Black-Scholes equation. We first eliminate the convection term in the equivalent form of the considered equation by using exponential
Jie Gu, Lijuan Nong, Qian Yi, An Chen
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Hedging in fractional Black-Scholes model with transaction costs [PDF]
, 2017 We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit ...
Shokrollahi, Foad, Sottinen, Tommi
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پژوهشهای ریاضی, 2020 Introduction Fractional Differential Calculus (FDC) began in the 17th century and its initial discussions were related to the works of Leibniz, Lagrange, Abel and others.
Sedighe Sharifian +2 more
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An adaptive moving mesh method for a time-fractional Black–Scholes equation
Advances in Difference Equations, 2019 In this paper we study the numerical method for a time-fractional Black–Scholes equation, which is used for option pricing. The solution of the fractional-order differential equation may be singular near certain domain boundaries, which leads to ...
Jian Huang, Zhongdi Cen, Jialiang Zhao
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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
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Long memory stochastic volatility in option pricing
, 2004 The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range dependence.
Fedotov, Sergei, Tan, Abby
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A hybrid Chelyshkov wavelet-finite differences method for time-fractional black-Scholes equation [PDF]
Journal of Mahani Mathematical ResearchIn this paper, a hybrid method for solving time-fractional Black-Scholes equation is introduced for option pricing. The presented method is based on time and space discretization.
Seyyed Amjad Samareh Hashemi +2 more
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