Results 31 to 40 of about 4,806 (143)

Using a Mix of Finite Difference Methods and Fractional Differential Transformations to Solve Modified Black–Scholes Fractional Equations

Mathematics
This paper discusses finding solutions to the modified Fractional Black–Scholes equation. As is well known, the options theory is beneficial in the stock market.
Agus Sugandha, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +1 more source

An improved approximate method for solving two-dimensional time-fractional-order Black-Scholes model: a finite difference approach

AIMS Mathematics
In this paper, we considered the two-dimensional fractional-order Black-Scholes model in the Liouville-Caputo sense. The Black-Scholes model was an important tool in the financial market, used for determining option prices in the European-style market ...
Din Prathumwan, Din Prathumwan, Thipsuda Khonwai , Narisara Phoochalong, Inthira Chaiya, Kamonchat Trachoo   +5 more
doaj   +1 more source

Laplace Decomposition Method for Solving Fractional Black-Scholes European Option Pricing Equation [PDF]

, 2020
Fractional calculus is related to derivatives and integrals with the order is not an integer. Fractional Black-Scholes partial differential equation to determine the price of European-type call options is an application of fractional calculus in the ...
Owoyemi, Abiodun Ezekiel, Rusyaman, Endang, Sukono, Sukono, Sumiati, Ira   +3 more
core   +1 more source

Conditional-Mean Hedging Under Transaction Costs in Gaussian Models [PDF]

, 2017
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions.
Sottinen, Tommi, Viitasaari, Lauri
core   +2 more sources

Efficient operator splitting and spectral methods for the time-space fractional Black–Scholes equation

Results in Applied Mathematics, 2021
In this paper, we aim at developing improved L1 operator splitting method and spectral method for Black–Scholes differential systems with fractional derivatives in both time and space.
Mustafa Almushaira, Feng Chen, Fei Liu
doaj   +1 more source

Fractional constant elasticity of variance model

, 2006
This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility.
Chan, Ngai Hang, Ng, Chi Tim
core   +2 more sources

A Delayed Black and Scholes Formula I [PDF]

, 2006
In this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to fit real market
Bachelier L., Bates D.S, Baxter M., Cootner P.H., Elsanousi I., Gyula Pap, Hida T., Itô K., Kallianpur G., Karatzas I., Kloeden P.E., Kloeden P.E., Kolmanovskii V.B., Kunita H., Mania M., Mercedes Arriojas, Merton R.C., Mohammed S.-E.A., Mohammed S.-E.A., Salah-Eldin Mohammed, Yaozhong Hu, Øksendal B.   +21 more
core   +5 more sources

Qualitative financial modelling in fractal dimensions

Financial Innovation
The Black–Scholes equation is one of the most important partial differential equations governing the value of financial derivatives in financial markets. The Black–Scholes model for pricing stock options has been applied to various payoff structures, and
Rami Ahmad El-Nabulsi, Waranont Anukool
doaj   +1 more source

Solving the general form of the fractional Black–Scholes with two assets through Reconstruction Variational Iteration Method

Results in Applied Mathematics
The objective of this study is to examine the dynamic components of option pricing in the European put option market by utilizing the two-dimensional time fractional-order Black–Scholes equation.
Mohammad Hossein Akrami, Abbas Poya, Mohammad Ali Zirak   +2 more
doaj   +1 more source

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].
Chong, Kam Yoon, O'Hara, John G
core   +1 more source