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 +2 more
wiley +1 more source
High order compact finite difference schemes for a nonlinear Black-Scholes equation [PDF]
A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized semi-implicitly using high order compact finite difference schemes. In particular, the compact schemes of Rigal are generalized.
Michel Fournié +2 more
core
Relativistic Black–Scholes Equation
Ecuación Black-Scholes relativistaEl modelo de Black Scholes presentado en este trabajo es una generalización a la versión relativista que no es muy conocida desde a la versión original de 1973, debido a que sus efectos aún son poco significativos. En el
Sierra Juárez, Guillermo
core +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
Option Pricing in a Fractional Brownian Motion Environment [PDF]
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian ...
Cipian Necula
core
An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market [PDF]
, 2005 Includes bibliographical references.The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset.
Chen, Hung-Hsiang
core +1 more source
"The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry" [PDF]
This paper is written as a tribute to Professors Robert Merton and Myron Scholes, winners of the 1997 Nobel Prize in economics, as well as to their collaborator, the late Professor Fischer Black.
Terry Marsh, Takao Kobayashi
core
Numerical Valuation of Time Fractional Black–Scholes Equation in Financial Markets
MathematicsThe time-fractional Black–Scholes model (TFBSM) is used to describe option price dynamics within a fractional diffusion model. It provides a mathematical model for valuing European and American call and put options on non-dividend-paying stocks.
Omid Nikan, Mehdi Alaeiyan, Suhad Yousef
doaj +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 +3 more
doaj +1 more source
The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option [PDF]
, 2016 In recent years, the Finite Moment Log Stable(FMLS), KoBoL and CGMY models, which follow a jump process or a Lévy process, have become the most popular modeling frameworks in the financial field because they can capture some of the important ...
Turner, I., Zhang, H., Liu, F., Chen, S.
core +1 more source