Results 191 to 200 of about 5,049 (220)

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
openaire   +2 more sources

Fractional step method for wavelet based solution of Black-Scholes equation

AIP Conference Proceedings, 2016
The fractional step method is a method of approximation of evolution equations based on decomposition of the operators they contain. In recent years, operator splitting methods have been developed that enable an efficient and stable numerical solution of PDEs.
openaire   +1 more source

A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation

2017
We develop a finite difference method (FDM) for a 2D fractional Black-Scholes equation arising in the optimal control problem of pricing European options on two assets under two independent geometric Levy processes. We establish the convergence of the method by showing that the FDM is consistent, stable and monotone.
W. Chen, S. Wang
openaire   +1 more source

On the numerical solution of time fractional Black-Scholes equation

International Journal of Computer Mathematics, 2021
M. Sarboland, A. Aminataei
openaire   +1 more source

Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility

Stochastics and Stochastic Reports, 2004
We modify the Hu-Oksendal and Elliot-van der Hoek approach to arbitrage-free financial markets driven by a fractional Brownian motion that is defined on a white noise space. We deduce and solve a Black–Scholes fractional equation for constant volatility and outline the corresponding equation with stochastic volatility.
openaire   +1 more source

Fractional Black - Scholes Equation described by the Conformable Fractional Derivative with Three Different Methods

International Journal of Mathematics in Operational Research, 2023
C. Vijayan, R. Manimaran, N. Racshitha
openaire   +1 more source

Fractional Chern insulators in magic-angle twisted bilayer graphene

Nature, 2021
Yonglong Xie, Jeong Min Park, Daniel E Parker   +2 more
exaly  

Signatures of fractional quantum anomalous Hall states in twisted MoTe2

Nature, 2023
, Eric Anderson, Chong Wang
exaly  

Thermodynamic evidence of fractional Chern insulator in moiré MoTe2

Nature, 2023
, Patrick Knüppel, Kenji Watanabe
exaly  

Observation of fractional edge excitations in nanographene spin chains

Nature, 2021
Shantanu Mishra, Gonçalo Catarina, Fupeng Wu   +2 more
exaly