Results 141 to 150 of about 228 (169)

Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion. [PDF]

Int Sch Res Notices, 2014
Sun JJ, Zhou S, Zhang Y, Han M, Wang F.
europepmc   +1 more source

Unveiling the Power of Implicit Six-Point Block Scheme: Advancing numerical approximation of two-dimensional PDEs in physical systems. [PDF]

PLoS One
Olaoluwa Omole E, Olusheye Adeyefa E, Iyabo Apanpa K, Iyadunni Ayodele V, Emmanuel Amoyedo F, Emadifar H.   +5 more
europepmc   +1 more source

Instability of Financial Time Series Revealed by Irreversibility Analysis. [PDF]

Entropy (Basel)
Fan Y, Yang Y, Wang Z, Gao M.
europepmc   +1 more source

Test for Covid-19 seasonality and the risk of second waves

, 2020
Engelbrecht FA, Scholes RJ.
europepmc   +1 more source

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Solving fractional Black–Scholes equation by using Boubaker functions

Mathematical Methods in the Applied Sciences, 2021
The fractional Black–Scholes pricing model widely appears in financial markets. This paper presents the special class of operational matrix to approximate the solution of fractional Black–Scholes equation based on the Boubaker polynomial functions. The Boubaker operational matrix of the fractional derivative converts the model to obtain the numerical ...
A.A. Khajehnasiri, M. Safavi
openaire   +4 more sources

Numerical approximation of a time-fractional Black–Scholes equation

Computers & Mathematics with Applications, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhongdi Cen, Jian Huang 0011, Aimin Xu, Anbo Le   +3 more
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Numerical solution of time-fractional Black–Scholes equation

Computational and Applied Mathematics, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Koleva, Miglena N., Vulkov, Lubin G.
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Lie symmetry analysis and conservation laws for the time fractional Black–Scholes equation

International Journal of Geometric Methods in Modern Physics, 2019
In this paper, the Lie symmetry algebra admitted by the time fractional Black–Scholes equation is obtained by using the Lie group method. The constructed symmetry generators are investigated to construct a family of exact solutions and conservation laws for the studied equation.
Youness Chatibi, El Hassan El Kinani, Abdelaziz Ouhadan   +2 more
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