Results 61 to 70 of about 4,806 (143)

Precise asymptotics: robust stochastic volatility models

, 2018
We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices.
Friz, Peter K., Gassiat, Paul, Pigato, Paolo   +2 more
core   +2 more sources

Fractional Order Stochastic Differential Equation with Application in European Option Pricing

Discrete Dynamics in Nature and Society, 2014
Memory effect is an important phenomenon in financial systems, and a number of research works have been carried out to study the long memory in the financial markets.
Qing Li, Yanli Zhou, Xinquan Zhao, Xiangyu Ge   +3 more
doaj   +1 more source

RANDOM WALKS AND FRACTAL STRUCTURES IN AGRICULTURAL COMMODITY FUTURES PRICES [PDF]

This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are ...
Turvey, Calum G.
core   +1 more source

A NEW MODEL FOR STOCK PRICE MOVEMENTS [PDF]

This paper presents a new alternative diffusion model for asset price movements. In contrast to the popular approach of Brownian Motion it proposes Deterministic Diffusion for the modelling of stock price movements.
Guido VENIER
core  

An interior penalty method for a parabolic complementarity problem involving a fractional Black-Scholes operator

Journal of Inequalities and Applications
In this paper, an interior penalty method is proposed to solve a parabolic complementarity problem involving fractional Black–Scholes operator arising in pricing American options under a geometric Lévy process.
Yarui Duan, Song Wang, Yuying Zhou, Leijun Zhu   +3 more
doaj   +1 more source

Recovery of Implied Volatility in a Spatial-Fractional Black–Scholes Equation Under a Finite Moment Log Stable Model

Mathematics
In this paper, we study direct and inverse problems for a spatial-fractional Black–Scholes equation with space-dependent volatility. For the direct problem, we provide CN-WSGD (Crank–Nicholson and the weighted and shifted Grünwald difference) scheme to ...
Xiaoying Jiang, Chunmei Shi, Yujie Wei
doaj   +1 more source

A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model. [PDF]

Comput Econ, 2023
Kharrat M, Arfaoui H.
europepmc   +1 more source

Lie Symmetries and the Invariant Solutions of the Fractional Black–Scholes Equation under Time-Dependent Parameters

Fractal and Fractional
In this paper, we consider the time-fractional Black–Scholes model with deterministic, time-varying coefficients. These time parametric constituents produce a model with greater flexibility that may capture empirical results from financial markets and ...
Sameerah Jamal, Reginald Champala, Suhail Khan   +2 more
doaj   +1 more source

Quantum effects in an expanded Black-Scholes model. [PDF]

Eur Phys J B, 2022
Bhatnagar A, Vvedensky DD.
europepmc   +1 more source

The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application [PDF]

The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Frederiksen, Per H., Høg, Espen P.
core