Results 91 to 100 of about 228 (169)

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

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

A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model. [PDF]

Comput Econ, 2023
Kharrat M, Arfaoui H.
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

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

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

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

Numerically pricing American and European options using a time fractional Black–Scholes model in financial decision-making

Alexandria Engineering Journal
The time fractional Black–Scholes equation (TFBSE) is designed to evaluate price fluctuations within a correlated fractal transmission system. This model prices American or European put and call options on non-dividend-paying stocks.
Omid Nikan, Jalil Rashidinia, Hossein Jafari   +2 more
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