Results 111 to 120 of about 5,049 (220)

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  

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

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

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

Fractal barrier option pricing under sub-mixed fractional Brownian motion with jump processes

AIMS Mathematics
In this work, we mainly focused on the pricing formula for fractal barrier options where the underlying asset followed the sub-mixed fractional Brownian motion with jump, including the down-and-out call option, the down-and-out put option, the down-and ...
Chao Yue, Chuanhe Shen
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

A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options [PDF]

, 2021
Maryam Rezaei, A. R. Yazdanian, Seyed Mahdi Mahmoudi, Ali Ashrafi   +3 more
openalex   +1 more source

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

SOLUTIONS OF A TIME FRACTIONAL BLACK-SCHOLES EQUATION UNDER THE CONSTANT ELASTICITY OF VARIANCE PROCESS [PDF]

, 2023
Kangqun Zhang
openalex   +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