Results 71 to 80 of about 3,326,697 (175)

Review of the Fractional Black-Scholes Equations and Their Solution Techniques

Fractal and Fractional
The pioneering work in finance by Black, Scholes and Merton during the 1970s led to the emergence of the Black-Scholes (B-S) equation, which offers a concise and transparent formula for determining the theoretical price of an option. The establishment of
Hongmei Zhang, Mengchen Zhang, Fawang Liu, Ming Shen   +3 more
doaj   +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

A Framework for Derivative Pricing in the Fractional Black-Scholes Market [PDF]

The aim of this paper is to develop a framework for evaluating derivatives if the underlying of the derivative contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
core  

Race‐related research in economics

Economica, Volume 93, Issue 370, Page 403-438, April 2026.
Abstract Issues of racial justice and economic inequalities between racial and ethnic groups have risen to the top of public debate. Economists' ability to contribute to these debates is based on the body of race‐related research. We study the volume and content of race‐related research in economics.
Arun Advani, Elliott Ash, Anton Boltachka, David Cai, Imran Rasul   +4 more
wiley   +1 more source

An Efficient Numerical Scheme for a Time-Fractional Black–Scholes Partial Differential Equation Derived from the Fractal Market Hypothesis

Fractal and Fractional
Since the early 1970s, the study of Black–Scholes (BS) partial differential equations (PDEs) under the Efficient Market Hypothesis (EMH) has been a subject of active research in financial engineering.
Samuel M. Nuugulu, Frednard Gideon, Kailash C. Patidar   +2 more
doaj   +1 more source

Pricing European and Barrier Options in the Fractional Black-Scholes Market [PDF]

The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
core  

Urban and Power Plant NOx Emissions in Sub‐Saharan Africa Inferred From TROPOMI

Journal of Geophysical Research: Atmospheres, Volume 131, Issue 4, 28 February 2026.
Abstract Nitrogen oxides (NOx) emissions are increasing rapidly in Sub‐Saharan Africa, affecting local air quality. Outside South Africa, most hotspots are relatively small, posing a challenge for traditional top‐down inversions. We tailor an existing top‐down wind rotation and Gaussian plume fit inversion to suit the relatively small NOx hotspots for ...
Eloise A. Marais, Nana Wei, Eric Y. P. Tan, Gongda Lu, Sekou Keita, Mogesh Naidoo, Rebecca M. Garland   +6 more
wiley   +1 more source

Bayesian Joint Estimation of the Hurst Parameter and Volatility with Applications to Fractional Option Pricing

Risks
Fractional Brownian motion has been widely used in financial modeling to capture long-range dependence and persistent behavior in asset dynamics. In the fractional Black–Scholes framework, accurate estimation of the Hurst parameter is essential because ...
Hana H. Sagor, Edward L. Boone, Ryad A. Ghanam   +2 more
doaj   +1 more source

A Linear Algorithm for Black Scholes Economic Model [PDF]

The pricing of options is a very important problem encountered in financial domain. The famous Black-Scholes model provides explicit closed form solution for the values of certain (European style) call and put options.
Dumitru FANACHE, Ion SMEUREANU
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Application of Lie symmetries to solving modified Black-Scholes equation

, 2022
We perform Lie symmetry analysis on the modified Black-Scholes model described as a partial differential equation (PDE). As a result, a new complete Lie symmetry group and infinitesimal generators of the one-dimensional modified fractional Black-Scholes ...
Ramoeletsi, Realeboha, Kaibe, Bosiu, Nchejane, Ngaka   +2 more
core