Results 91 to 100 of about 4,903 (187)

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  

Analytically pricing double barrier options based on a time-fractional Black–Scholes equation

Computers & Mathematics with Applications, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wen-Ting Chen, Xiang Xu, Song-Ping Zhu
openaire   +2 more sources

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

STOCHASTIC BLACK-SCHOLES EQUATION WITH TIME-FRACTIONAL DERIVATIVE ON THE HALF-LINE [PDF]

International Journal of Pure and Apllied Mathematics, 2016
We investigate the pricing of options using a modified Black-Scholes equation with a time-fractional derivative and additive white noise on the half-line. We construct the Green function for the initial-boundary value problem adapting the main ideas of the Fokas method and we prove existence and uniqueness of solutions.
openaire   +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  

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

An empirical model of volatility of returns and option pricing [PDF]

This paper reports several entirely new results on financial market dynamics and option pricing We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian.
Gunaratne, Gemunu H., McCauley, Joseph L.   +1 more
core   +1 more source

A NEW MODEL FOR STOCK PRICE MOVEMENTS [PDF]

This paper presents a new alternative diffusion model for asset price movements. In contrast to the popular approach of Brownian Motion it proposes Deterministic Diffusion for the modelling of stock price movements.
Guido VENIER
core  

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

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