Results 101 to 110 of about 3,326,698 (171)

Approximate Analytical Solution of the Black–Scholes Model with Two Assets Based on the ABC Time-Fractional Derivative

Axioms
The classical Black–Scholes model assumes Markovian dynamics and cannot capture the long-range dependence and gradual memory decay observed in real markets.
Kamonchat Trachoo, Inthira Chaiya, Din Prathumwan   +2 more
doaj   +1 more source

Fractional Black-Scholes model with regularized Prabhakar derivative

, 2017
We introduce a fractional type Black-Scholes model in European options including the regularized Prabhakar derivative. We apply the reconstruction of variational iteration method to get the approximate analytical solutions for some models of ...
Alireza Ansari, Shiva Eshaghi, Reza Ghaziani, Mohammadreza Darani   +3 more
core   +1 more source

The Fractional OU Process: Term Structure Theory and Application [PDF]

The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Esben Hoeg, Per Frederiksen
core  

The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application [PDF]

The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Frederiksen, Per H., Høg, Espen P.
core  

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

An optimization method for studying fractional-order tuberculosis disease model via generalized Laguerre polynomials. [PDF]

Soft comput, 2023
Avazzadeh Z, Hassani H, Agarwal P, Mehrabi S, Ebadi MJ, Dahaghin MS.   +5 more
europepmc   +1 more source

Lie Symmetries Of The Black-Scholes Equation

, 2010
In this paper symmetry expansions for Black-Scholes equation are studied. Differently then the other studies in the literaTurkishe for Black-Scholes equation, we expanded the equation into a parametric form by adding a coefficient a.
Polat, R.
core   +1 more source

A hybrid method for solution of the fractional black-scholes equation

Bu tez çalışmasında, kesirli mertebeden türeve sahip Black-Scholes (BS) opsiyon fiyatlama denkleminin Conformable Laplace Ayrışım Yöntemi (CLAY) ile çözümüne yer verilmiştir.
Özçiftçi, Ayşe
core  

RISK-FREE INTERNAL GAINS – BLACK AND SCHOLES RE-EXAMINED [PDF]

In this paper we first show that if a not-necessarily-self-financing portfolio has instantaneously riskless internal gains, then on an infinitesimal time-interval, the increase in the internal gains on the portfolio is the same as the change in the price
Gergei Bana
core  

Iterative spectral methods for Hamilton-Jacobi-Bellman quasi-variational inequality in finance. [PDF]

PLoS One
Lei M, Lu Z.
europepmc   +1 more source