Results 61 to 70 of about 5,049 (220)

Exact Solution of Fractional Black-Scholes European Option Pricing Equations

Applied Mathematics, 2018
We introduce two algorithms in order to find the exact solution of the nonlinear Time-fractional Partial differential equation, in this research work. Those algorithms are proposed in the following structure: The Modified Homotopy Perturbation Method (MHPM), The Homotopy Perturbation and Sumudu Transform Method.
Maryeme Ouafoudi, Fei Gao
openaire   +2 more sources

Inscribing Impact: Measurement Practices in the Making of Moral Markets

Journal of Management Studies, EarlyView.
Abstract Moral markets, designed to generate positive impact on pressing social and environmental challenges, are transforming traditional market practices by including more than economic considerations in their operations. The importance of these markets continues to grow as investors, regulators, and consumers increasingly put pressure on companies ...
Guillermo Casasnovas, Lisa Hehenberger, Kyriaki Papageorgiou   +2 more
wiley   +1 more source

Fractional constant elasticity of variance model

, 2006
This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility.
Chan, Ngai Hang, Ng, Chi Tim
core   +2 more sources

A Delayed Black and Scholes Formula I [PDF]

, 2006
In this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to fit real market
Bachelier L., Bates D.S, Baxter M., Cootner P.H., Elsanousi I., Gyula Pap, Hida T., Itô K., Kallianpur G., Karatzas I., Kloeden P.E., Kloeden P.E., Kolmanovskii V.B., Kunita H., Mania M., Mercedes Arriojas, Merton R.C., Mohammed S.-E.A., Mohammed S.-E.A., Salah-Eldin Mohammed, Yaozhong Hu, Øksendal B.   +21 more
core   +5 more sources

Multithread Approximation: An OpenMP Constructor

Concurrency and Computation: Practice and Experience, Volume 38, Issue 4, February 2026.
ABSTRACT This study introduces an OpenMP construct designed to simplify and unify the integration of approximate computing techniques into shared‐memory parallel programs. Approximate Computing leverages the inherent error tolerance of many applications to trade computational accuracy for gains in performance and energy efficiency.
João Briganti de Oliveira, Rogério Aparecido Gonçalves, João Fabrício Filho   +2 more
wiley   +1 more source

Qualitative financial modelling in fractal dimensions

Financial Innovation
The Black–Scholes equation is one of the most important partial differential equations governing the value of financial derivatives in financial markets. The Black–Scholes model for pricing stock options has been applied to various payoff structures, and
Rami Ahmad El-Nabulsi, Waranont Anukool
doaj   +1 more source

Dynamic Debt With Intensity‐Based Models

Journal of Futures Markets, Volume 46, Issue 2, Page 334-352, February 2026.
ABSTRACT This article proposes a dynamic debt model where the face value of debt can change. In particular, our dynamic debt setting allows debt changes ruled by intensity processes that are linked to the firm value through the correlation between the stochastic processes. Analytical solutions are obtained, and we extend the proposed dynamic debt model
João Miguel Reis, José Carlos Dias
wiley   +1 more source

Solving the general form of the fractional Black–Scholes with two assets through Reconstruction Variational Iteration Method

Results in Applied Mathematics
The objective of this study is to examine the dynamic components of option pricing in the European put option market by utilizing the two-dimensional time fractional-order Black–Scholes equation.
Mohammad Hossein Akrami, Abbas Poya, Mohammad Ali Zirak   +2 more
doaj   +1 more source

N2 fixation is linked to the ability to encroach in African savanna trees

Functional Ecology, Volume 40, Issue 2, Page 517-533, February 2026.
Read the free Plain Language Summary for this article on the Journal blog. Abstract Encroachment is a globally ubiquitous phenomenon, characterised by increasing indigenous tree densities in savanna and grassland. Encroachment has been attributed to rising atmospheric CO2 concentrations fertilising tree growth and shifting the competitive balance ...
Elizabeth M. Telford, Kimberley Simpson, Lorna Street, Emily Fletcher, Richard Carkeek, Russell B. Dixon, Katie J. Field, Emma Jones, Sarah L. Raubenheimer, Edith Singini, Brad Ripley, Colin P. Osborne, Caroline E. R. Lehmann   +12 more
wiley   +1 more source

Numerical Analysis of the Time Fractional Black-Scholes Equation [PDF]

, 2016
时间分数阶Black-Scholes方程在期权定价中有着日益广泛的应用。本文旨在研究该方程的数值解法，构造和分析了两个有效算法。第一个算法结合了时间方向的有限差分和空间方向的谱方法；第二个方法则基于时空Galerkin谱方法。通过引入恰当的Sobolev空间，我们构建了时空变分问题，证明了时空弱问题的适定性。在算法分析方面，我们首先给出两种方法的最优误差估计。然后讨论算法实现技巧，通过选取适当的基函数导出离散问题的线性系统。最后给出一些数值例子验证理论结果。The time fractional ...
刘瑞清
core