Results 71 to 80 of about 4,806 (143)

An empirical model of volatility of returns and option pricing [PDF]

This paper reports several entirely new results on financial market dynamics and option pricing We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian.
Gunaratne, Gemunu H., McCauley, Joseph L.   +1 more
core   +1 more source

Numerical investigation of the fractional diffusion wave equation with exponential kernel via cubic B-Spline approach. [PDF]

PLoS One, 2023
Shafiq M, Abbas M, Emadifar H, Alzaidi AS, Nazir T, Aini Abdullah F.   +5 more
europepmc   +1 more source

Galerkin approach by certain shifted Jacobi polynomials for solving the time-fractional Black-Scholes equation

Boundary Value Problems
This work presents a spectral Galerkin approach for solving the time-fractional Black-Scholes equation (TFBSE) used in option pricing models, considering memory effects. We use certain shifted Jacobi polynomials as the basis functions.
A. G. Atta, M. A. Abdelkawy, Anna Napoli, W. M. Abd-Elhameed   +3 more
doaj   +1 more source

Fractal barrier option pricing under sub-mixed fractional Brownian motion with jump processes

AIMS Mathematics
In this work, we mainly focused on the pricing formula for fractal barrier options where the underlying asset followed the sub-mixed fractional Brownian motion with jump, including the down-and-out call option, the down-and-out put option, the down-and ...
Chao Yue, Chuanhe Shen
doaj   +1 more source

Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment. [PDF]

Entropy (Basel), 2023
Nowak P, Pawłowski M.
europepmc   +1 more source

Analysis of a Finite Difference Method for a Time-Fractional Black–Scholes Equation

Fractal and Fractional
The goal of this paper is to give an error analysis of a finite difference method for a time-fractional Black–Scholes equation with weakly singular solutions.
Qingzhao Li, Chaobao Huang, Tao Sun, Hu Chen   +3 more
doaj   +1 more source

Optimal Algebras and Novel Solutions of Time-Fractional 2+1−D European Call Option Model

Discrete Dynamics in Nature and Society
In this article, we analyse the time-fractional 2+1−D Black–Scholes model for European call options by employing Lie symmetry analysis. We derive the infinitesimal transformations and classify the optimal systems.
Gimnitz Simon S., B. Bira, Sathiyaraj Thambiayya   +2 more
doaj   +1 more source

An optimization method for studying fractional-order tuberculosis disease model via generalized Laguerre polynomials. [PDF]

Soft comput, 2023
Avazzadeh Z, Hassani H, Agarwal P, Mehrabi S, Ebadi MJ, Dahaghin MS.   +5 more
europepmc   +1 more source

Fractional Black–Scholes Under Memory Effects: A Sixth-Order Local RBF–FD Scheme with Integrated Multiquadric Kernels

Axioms
In this work, a high-order meshless framework is developed for the numerical resolution of the temporal–fractional Black–Scholes equation arising in option pricing with long-memory effects.
Yutong Li, Mingqian Zhang, Ruosong Cao, Tao Liu, Xiaoxi Hu, Yakun Li   +5 more
doaj   +1 more source

Variational quantum evolution equation solver. [PDF]

Sci Rep, 2022
Leong FY, Ewe WB, Koh DE.
europepmc   +1 more source