Results 71 to 80 of about 4,852 (158)

Fundamental Black–Scholes Model, Fractional Binary Approximation, No‐Arbitrage, and Completeness

Journal of Mathematics, Volume 2026, Issue 1, 2026.
Sottinen (2001) constructed a binary model approximating the Black–Scholes (B‐S) model driven by fractional Brownian motion using its Donsker’s type approximation. He further proved that his so‐called fractional binary model has arbitrage opportunities.
Bogny Kenfack Bob James, Mbele Bidima Martin Le Doux, Smritijit Sen   +2 more
wiley   +1 more source

Efficient High‐Accuracy Numerical Scheme for the Solution of Time Fractional Parabolic Partial Differential Equations With Application in Financial Modeling

Journal of Mathematics, Volume 2026, Issue 1, 2026.
Parabolic partial equations, particularly the Black–Scholes equation, are fundamental in mathematical finance for option pricing and risk management. Despite their widespread use, efficiently solving these equations remains a challenge, especially in complex financial scenarios.
Hadis Azin, Ali Iloon Kashkooly, Pramita Mishra   +2 more
wiley   +1 more source

Tournament incentives and reserve management

Risk Management and Insurance Review, Volume 28, Issue 4, Page 499-533, Winter 2025.
Abstract This paper examines the impact of internal tournament incentives on reserve management within the property‐liability insurance industry. We find a positive relationship between internal tournament incentives and reserve errors, suggesting that a larger tournament prize is associated with more conservative loss‐reserve management.
Gene Lai, Ahmet Nart, Chia‐Ling Ho, Gunratan Lonare   +3 more
wiley   +1 more source

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

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

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

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

Dynamic hedging of financial instruments when the underlying follows a non-Gaussian process. [PDF]

Traditional dynamic hedging strategies are based on local information (ie Delta and Gamma) of the financial instruments to be hedged. We propose a new dynamic hedging strategy that employs non-local information and compare the profit and loss (P&L ...
Cartea, Álvaro
core  

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

Long Memory Options: Valuation [PDF]

This paper graphically demonstrates the significant impact of the observed financial market persistence, i.e., long term memory or dependence, on European option valuation.
CORNELIS A. LOS, SUTTHISIT JAMDEE
core