Results 21 to 30 of about 3,326,698 (171)
Lie symmetry analysis of a fractional Black-Scholes equation [PDF]
, 2019 In 2000, Walter Wyss looked into the fractional version of the Black-Scholes equation for the first time. He gave a solution of the fractional Black-Scholes equation by using the Greens function [14].
O'Hara, John G +3 more
core +1 more source
Investigation of Higher Order Localized Approximations for a Fractional Pricing Model in Finance
Mathematics, 2023 In this work, by considering spatial uniform meshes and stencils having five adjacent discretization nodes, we furnish a numerical scheme to solve the time-fractional Black–Scholes (partial differential equation) PDE to price financial options under the ...
Malik Zaka Ullah +3 more
doaj +1 more source
Novel ANN Method for Solving Ordinary and Time-Fractional Black–Scholes Equation
Complexity, 2021 The main aim of this study is to introduce a 2-layered artificial neural network (ANN) for solving the Black–Scholes partial differential equation (PDE) of either fractional or ordinary orders.
Saeed Bajalan, Nastaran Bajalan
doaj +1 more source
Numerical Solution of Fractional Black-Scholes Equation by Using the Multivariate Padé Approximation [PDF]
, 2017 In this study, a new application of multivariate Padé approximation method has been used for solving European vanilla call option pricing problem. Padé polynomials have occurred for the fractional Black-Scholes equation, according to the relations of ...
N. Özdemir +3 more
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An adaptive moving mesh method for a time-fractional Black–Scholes equation
Advances in Difference Equations, 2019 In this paper we study the numerical method for a time-fractional Black–Scholes equation, which is used for option pricing. The solution of the fractional-order differential equation may be singular near certain domain boundaries, which leads to ...
Jian Huang, Zhongdi Cen, Jialiang Zhao
doaj +1 more source
Laplace Decomposition Method for Solving Fractional Black-Scholes European Option Pricing Equation [PDF]
, 2020 Fractional calculus is related to derivatives and integrals with the order is not an integer. Fractional Black-Scholes partial differential equation to determine the price of European-type call options is an application of fractional calculus in the ...
Owoyemi, Abiodun Ezekiel +3 more
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پژوهشهای ریاضی, 2020 Introduction Fractional Differential Calculus (FDC) began in the 17th century and its initial discussions were related to the works of Leibniz, Lagrange, Abel and others.
Sedighe Sharifian +2 more
doaj
A robust numerical solution to a time-fractional Black–Scholes equation
Advances in Difference Equations, 2021 Dividend paying European stock options are modeled using a time-fractional Black–Scholes (tfBS) partial differential equation (PDE). The underlying fractional stochastic dynamics explored in this work are appropriate for capturing market fluctuations in ...
S. M. Nuugulu, F. Gideon, K. C. Patidar
doaj +1 more source
Board Independence and Adjustment Speed of CEO Inside Debt
European Financial Management, EarlyView.ABSTRACT We find that firms with more independent directors adjust CEO inside debt towards an optimum more quickly. This effect is more pronounced in financially unconstrained, growth, and under‐levered firms, and also firms led by more powerful or overconfident CEOs.
Bonnie Buchanan, Shuhui Wang, Tina Yang
wiley +1 more source
Network Effects in Corporate Emissions: Evidence from a Data‐Dependent Spatial Panel Model
Journal of Money, Credit and Banking, EarlyView.Abstract We study spillover effects in corporate toxic emissions using a heterogeneous panel of U.S. industrial facilities from 2000 to 2023. Rather than imposing a network structure a priori, we uncover an unobserved web of influence directly from the data using recent advances in high‐dimensional network econometrics.
STYLIANOS ASIMAKOPOULOS +3 more
wiley +1 more source