Results 21 to 30 of about 3,326,697 (175)
Fractal and Fractional, 2022 An option is the right to buy or sell a good at a predetermined price in the future. For customers or financial companies, knowing an option’s pricing is crucial.
Sivaporn Ampun +2 more
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Computation, 2021 In the finance market, the Black–Scholes equation is used to model the price change of the underlying fractal transmission system. Moreover, the fractional differential equations recently are accepted by researchers that fractional differential equations
Sirunya Thanompolkrang +2 more
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Option valuation in markets with finite liquidity under fractional CEV assets [PDF]
Mathematics and Modeling in Finance, 2022 The aim of this paper is to numerically price the European double barrier option by calculating the governing fractional Black-Scholes equation in illiquid markets.
Azadeh Ghasemifard +2 more
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Alexandria Engineering Journal, 2023 Trivially, the time-fractional Black–Scholes (FBS) equation is utilized to describe the behavior of the option pricing in financial markets. This work is intended as an attempt to introduce the ψ-Hilfer fractional Black–Scholes (ψ-HFBS) equation.
F. Mohammadizadeh +4 more
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Beni-Suef University Journal of Basic and Applied Sciences, 2023 Background Following a financial loss in trades due to lack of risk management in previous models from market practitioners, Fisher Black and Myron Scholes visited the academic setting and were able to mathematically develop an option pricing equation ...
Adedapo Ismaila Alaje +5 more
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On the solution of two-dimensional fractional Black–Scholes equation for European put option
Advances in Difference Equations, 2020 The purpose of this paper was to investigate the dynamics of the option pricing in the market through the two-dimensional time fractional-order Black–Scholes equation for a European put option.
Din Prathumwan, Kamonchat Trachoo
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Fractal and Fractional, 2023 In this paper, we consider an approximation of the Caputo fractional derivative and its asymptotic expansion formula, whose generating function is the polylogarithm function.
Yuri Dimitrov +2 more
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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.
Schoenmakers, John G. M. +1 more
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On a Multigrid Method for Tempered Fractional Diffusion Equations
Fractal and Fractional, 2021 In this paper, we develop a suitable multigrid iterative solution method for the numerical solution of second- and third-order discrete schemes for the tempered fractional diffusion equation.
Linlin Bu, Cornelis W. Oosterlee
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Lie symmetry analysis of a fractional Black-Scholes equation [PDF]
, 2019 In 2000, Walter Wyss looked into the fractional version of the Black-Scholes equation for the first time. He gave a solution of the fractional Black-Scholes equation by using the Greens function [14].
O'Hara, John G +3 more
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