Results 41 to 50 of about 3,326,697 (175)

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

Contingent capital: A tale of two valuations

Journal of Risk and Insurance, EarlyView.
Abstract This study investigates the valuation gap between buyers and sellers of insurers' contingent capital, driven by asymmetric exposures to tax benefits, capital injections, and bankruptcy costs. We develop a novel Twin‐Tree Model with Jumps (TTMJ) that models the insurer's asset value dynamics by incorporating catastrophe risk, insolvency risk ...
Tian‐Shyr Dai, Chien‐Ling Lo, You‐Jia Sun, Hao‐Han Chang   +3 more
wiley   +1 more source

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

Solution of time fractional Black-Scholes European option pricing equation arising in financial market

Nonlinear Engineering, 2016
In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation.
Ravi Kanth A.S.V., Aruna K.
doaj   +1 more source

On Short‐Term Behavior of Implied Volatility for Index Options

Mathematical Finance, EarlyView.
ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley   +1 more source

Fading Attention and the Pricing of Default Risk in the German Market for Structured Products

Journal of Futures Markets, Volume 46, Issue 10, Page 1787-1808, October 2026.
ABSTRACT Structured retail products are unsecured bonds subject to the default risk of the issuer. We analyze the price‐setting policy of issuers with respect to this default risk. Using a long‐term data set of discount certificates in the German market, we apply a time series IVX‐approach to find that (i) quoted prices do depend on issuer default risk,
Rainer Baule, Falk Jensen
wiley   +1 more source

The Role of Index Fund Ownership in the Era of Say‐on‐Pay

Financial Management, Volume 55, Issue 3, Page 485-505, Fall 2026.
ABSTRACT We examine whether and how index funds influence executive compensation in the post‐Say‐on‐Pay era. Using the annual reconstitution of the Russell indexes as a source of exogenous variation in index fund ownership, we document a causal effect of index ownership on CEO pay structure.
Kiseo Chung, Hwanki Brian Kim
wiley   +1 more source

Compact Difference Schemes with Temporal Uniform/Non-Uniform Meshes for Time-Fractional Black–Scholes Equation

Fractal and Fractional, 2023
In this paper, we are interested in the effective numerical schemes of the time-fractional Black–Scholes equation. We convert the original equation into an equivalent integral-differential equation and then discretize the time-integral term in the ...
Jie Gu, Lijuan Nong, Qian Yi, An Chen
doaj   +1 more source

Solution of Black-Scholes Fractional Partial Differential Equation with two Assets by Aboodh Decomposition Method.

, 2019
In this paper, we present the solution of Black-Scholes fractional partial differential equation with two assets in the Caputo fractional derivative sense by the Aboodh decomposition method.
Alfaqeih, S., Alfaqeih S., Öziş, Turgut, Öziş T.   +3 more
core   +1 more source