Results 51 to 60 of about 4,852 (158)

Parameter Estimation for a Fractional Black–Scholes Model with Jumps from Discrete Time Observations

Mathematics, 2022
We consider a stochastic differential equation (SDE) governed by a fractional Brownian motion (BtH) and a Poisson process (Nt) associated with a stochastic process (At) such that: dXt=μXtdt+σXtdBtH+AtXt−dNt,X0=x0>0.
John-Fritz Thony, Jean Vaillant
doaj   +1 more source

Multithread Approximation: An OpenMP Constructor

Concurrency and Computation: Practice and Experience, Volume 38, Issue 4, February 2026.
ABSTRACT This study introduces an OpenMP construct designed to simplify and unify the integration of approximate computing techniques into shared‐memory parallel programs. Approximate Computing leverages the inherent error tolerance of many applications to trade computational accuracy for gains in performance and energy efficiency.
João Briganti de Oliveira, Rogério Aparecido Gonçalves, João Fabrício Filho   +2 more
wiley   +1 more source

A New Homotopy Transformation Method for Solving the Fuzzy Fractional Black–Scholes European Option Pricing Equations under the Concept of Granular Differentiability

Fractal and Fractional, 2022
The Black–Scholes option pricing model is one of the most significant achievements in modern investment science. However, many factors are constantly fluctuating in the actual financial market option pricing, such as risk-free interest rate, stock price,
Jianke Zhang, Yueyue Wang, Sumei Zhang
doaj   +1 more source

Dynamic Debt With Intensity‐Based Models

Journal of Futures Markets, Volume 46, Issue 2, Page 334-352, February 2026.
ABSTRACT This article proposes a dynamic debt model where the face value of debt can change. In particular, our dynamic debt setting allows debt changes ruled by intensity processes that are linked to the firm value through the correlation between the stochastic processes. Analytical solutions are obtained, and we extend the proposed dynamic debt model
João Miguel Reis, José Carlos Dias
wiley   +1 more source

A class of intrinsic parallel difference methods for time-space fractional Black–Scholes equation

Advances in Difference Equations, 2018
To quickly solve the fractional Black–Scholes (B–S) equation in the option pricing problems, in this paper, we construct pure alternative segment explicit–implicit (PASE-I) and pure alternative segment implicit–explicit (PASI-E) difference schemes for ...
Yue Li, Xiaozhong Yang, Shuzhen Sun
doaj   +1 more source

N2 fixation is linked to the ability to encroach in African savanna trees

Functional Ecology, Volume 40, Issue 2, Page 517-533, February 2026.
Read the free Plain Language Summary for this article on the Journal blog. Abstract Encroachment is a globally ubiquitous phenomenon, characterised by increasing indigenous tree densities in savanna and grassland. Encroachment has been attributed to rising atmospheric CO2 concentrations fertilising tree growth and shifting the competitive balance ...
Elizabeth M. Telford, Kimberley Simpson, Lorna Street, Emily Fletcher, Richard Carkeek, Russell B. Dixon, Katie J. Field, Emma Jones, Sarah L. Raubenheimer, Edith Singini, Brad Ripley, Colin P. Osborne, Caroline E. R. Lehmann   +12 more
wiley   +1 more source

Fractional diffusion models of option prices in markets with jumps. [PDF]

Most of the recent literature dealing with the modeling of financial assets assumes that the underlying dynamics of equity prices follow a jump process or a Lévy process. This is done to incorporate rare or extreme events not captured by Gaussian models.
Cartea, Álvaro, Castillo Negrete, Diego del   +1 more
core   +3 more sources

Supply chain risk in grain trading: Inventories as real options for shipping grain

Agribusiness, Volume 42, Issue 1, Page 175-195, Winter 2026.
Abstract Integrating trading and logistics is an important challenge in commodity trading. Trading and logistics are strategic decisions and are integral to most commodities including grain shipping by rail, in addition to other modes (barges, ocean shipping). There are substantial risks, such as the ordering and placement of rail cars.
William W. Wilson, Jesse Klebe
wiley   +1 more source

Implicit cubic B-spline scheme for the fractional Black-Scholes model with Caputo-Hadamard derivative [PDF]

Journal of Mahani Mathematical Research
In this study, we introduce a novel numerical scheme for solving the Black–Scholes equation endowed with a Caputo-Hadamard fractional time derivative. The temporal derivative is discretized via a finite-difference approach, ensuring both stability and ...
Roya Montazeri
doaj   +1 more source

Fractional smoothness and applications in finance

, 2010
This overview article concerns the notion of fractional smoothness of random variables of the form $g(X_T)$, where $X=(X_t)_{t\in [0,T]}$ is a certain diffusion process.
A. Friedman, B. Bouchard, C. Bennet, C. Geiss, C. Geiss, D. Nualart, E. Gobet, E. Gobet, E. Gobet, E. Temam, F. Hirsch, H. Rootzen, I. Karatzas, J. Bergh, J. Jacod, J. Jacod, J. Zhang, J.P. Lemor, M. Hujo, N. El Karoui, N. Taleb, R. Avikainen, S. Geiss, S. Geiss, S. Geiss, S. Watanabe, T. Hayashi, T.G. Kurtz   +27 more
core   +4 more sources