Results 51 to 60 of about 5,049 (220)
A high-order and fast scheme with variable time steps for the time-fractional Black-Scholes equation [PDF]
, 2021 Kerui Song, Pin Lyu
openalex +3 more sources
Networks and Heterogeneous Media, 2023 In this paper, two high-order compact difference schemes with graded meshes are proposed for solving the time-fractional Black-Scholes equation. We first eliminate the convection term in the equivalent form of the considered equation by using exponential
Jie Gu, Lijuan Nong, Qian Yi, An Chen
doaj +1 more source
Hedging in fractional Black-Scholes model with transaction costs [PDF]
, 2017 We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit ...
Shokrollahi, Foad, Sottinen, Tommi
core +2 more sources
Long memory stochastic volatility in option pricing
, 2004 The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range dependence.
Fedotov, Sergei, Tan, Abby
core +4 more sources
MathematicsThis paper discusses finding solutions to the modified Fractional Black–Scholes equation. As is well known, the options theory is beneficial in the stock market.
Agus Sugandha +3 more
doaj +1 more source
A New Version of Black–Scholes Equation Presented by Time-Fractional Derivative
Iranian Journal of Science and Technology, Transactions A: Science, 2017 In this article, a new time-fractional-order Black–Scholes equation has been derived. In this derivation, the asset price satisfies in a fractional-order stochastic differential equation. Here, the effect of trend memory in financial pricing is considered.
FarhadiA., SalehiM., ErjaeeG.H.
openaire +3 more sources
The Role of Index Fund Ownership in the Era of Say‐on‐Pay
Financial Management, EarlyView.ABSTRACT We examine whether and how index funds influence executive compensation in the post‐Say‐on‐Pay era. Using the annual reconstitution of the Russell indexes as a source of exogenous variation in index fund ownership, we document a causal effect of index ownership on CEO pay structure.
Kiseo Chung, Hwanki Brian Kim
wiley +1 more source
AIMS MathematicsIn this paper, we considered the two-dimensional fractional-order Black-Scholes model in the Liouville-Caputo sense. The Black-Scholes model was an important tool in the financial market, used for determining option prices in the European-style market ...
Din Prathumwan +5 more
doaj +1 more source
Conditional-Mean Hedging Under Transaction Costs in Gaussian Models [PDF]
, 2017 We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions.
Sottinen, Tommi, Viitasaari, Lauri
core +2 more sources
STOCHASTIC BLACK-SCHOLES EQUATION WITH TIME-FRACTIONAL DERIVATIVE ON THE HALF-LINE [PDF]
International Journal of Pure and Apllied Mathematics, 2016 We investigate the pricing of options using a modified Black-Scholes equation with a time-fractional derivative and additive white noise on the half-line. We construct the Green function for the initial-boundary value problem adapting the main ideas of the Fokas method and we prove existence and uniqueness of solutions.
Jorge Sánchez-Ortiz
openalex +2 more sources