Results 91 to 100 of about 3,326,698 (171)

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

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

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

Black-Scholes Equation and Heat Equation [PDF]

, 2016
First, we present and define the Black-Scholes equation which is used to model assets on the stock market. After that, we derive the heat equation that describes how the temperature increases through a homogeneous material. Finally, we detail how the two
Joyner, Charles D
core  

The Quantum Black-Scholes equation [PDF]

, 2006
Motivated by the work of Segal and Segal in \cite{5} on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus,.
Accardi, L, Boukas, A., Boukas, A, ACCARDI, LUIGI   +3 more
core   +1 more source

Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks [PDF]

In this article we evaluate the pricing performance of the rather simple but revolutionary Black-Scholes model and one of the more complex techniques (neural networks) on the European-style S&P Index call and put options over the period of 1.6.2006 till ...
Michaela Vlasáková Baruníková
core  

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

Physics-informed neural networks for the fractional Fokker–Planck equation in a Heston-type stochastic volatility model with time-dependent parameters

Machine Learning with Applications
This work presents a physics-informed neural network framework for solving the time-fractional Fokker–Planck equation governing the joint probability density of asset price and stochastic volatility in a Heston-type model with fully time-dependent ...
Muhammed Ahmed Ibrahim, Tamirat Temesgen Dufera, Sileshi Mebrate   +2 more
doaj   +1 more source

Solving fractional black-scholes eruopean option pricing equations by aboodh transform decomposition method

, 2020
In this paper we apply the Aboodh transform decomposition method to solve fractional Black- Scholes equation. This method is a mixture between Aboodh transform and Adomian decomposition method, we use this method to solve Black -Scholes equation with ...
Ekeland I., Alfaqeih S., Özış T.
core  

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

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