Results 81 to 90 of about 5,049 (220)

An Efficient Method for Solving Fractional Black-Scholes Model with Index and Exponential Decay Kernels

Journal of Function Spaces, 2022
The Black-Scholes equation (BSe) is fascinating in the business world for predicting the performance of financial investment valuation systems. The Caputo fractional derivative (CFD) and Caputo-Fabrizio fractional derivative operators are used in this ...
Saima Rashid, Saad Ihsan Butt, Zakia Hammouch, Ebenezer Bonyah   +3 more
doaj   +1 more source

On small time asymptotics for rough differential equations driven by fractional Brownian motions

, 2014
We survey existing results concerning the study in small times of the density of the solution of a rough differential equation driven by fractional Brownian motions.
D Nualart, F Baudoin, F Baudoin, F Comte, F Comte, J Feng, J Gatheral, J Hull, L Coutin, LCG Rogers, M Gubinelli, M Hairer, P Friz, P Friz, P Friz, T Cass, T Cass, T Cass, T Lyons, T Lyons, Y Hu, Y Inahama   +21 more
core   +1 more source

An analytical framework to price long‐dated climate‐exposed assets

Quantitative Economics, Volume 16, Issue 4, Page 1093-1146, November 2025.
This paper uses a tractable stochastic integrated‐assessment model to analyze the influence of climate change on asset returns across time and maturity. Quasi‐analytical, or recursive, formulas allow to price various long‐dated assets, including fixed‐income products, derivatives, and equities.
Pauline Chikhani, Jean‐Paul Renne
wiley   +1 more source

Fractional diffusion models of option prices in markets with jumps. [PDF]

Most of the recent literature dealing with the modeling of financial assets assumes that the underlying dynamics of equity prices follow a jump process or a Lévy process. This is done to incorporate rare or extreme events not captured by Gaussian models.
Cartea, Álvaro, Castillo Negrete, Diego del   +1 more
core   +3 more sources

Analysing time-fractional exotic options via efficient local meshless method

Results in Physics, 2020
In this article, we analyse the numerical simulation of the time-fractional Black-Scholes model governing butterfly spread option, digital option and double barrier option.
Mustafa Inc, Muhammad Nawaz Khan, Imtiaz Ahmad, Shao-Wen Yao, Hijaz Ahmad, Phatiphat Thounthong   +5 more
doaj   +1 more source

Effects of Social Media‐Based Peer Opinions on the Prices of Cryptocurrency Options

Journal of Futures Markets, Volume 45, Issue 10, Page 1512-1543, October 2025.
ABSTRACT Using a text‐based measure of peer opinions constructed from cryptocurrency‐related social media posts, we find that peer opinions contain valuable information about the prices of cryptocurrency options. Bitcoin options exhibit a volatility smile, which becomes steeper when peer opinions become bearish.
Da‐Hea Kim
wiley   +1 more source

Contrasting Carbon and Water Flux Dynamics in an East African Rangeland and Cropland

Journal of Geophysical Research: Biogeosciences, Volume 130, Issue 10, October 2025.
Abstract This study examines carbon (C) and water dynamics in two East African dryland ecosystems: a savanna rangeland grazed by livestock and wildlife, and a rainfed cropland under minimal tillage. Over 185 days, both systems were showed a similar magnitude of C emissions with differing temporal patterns.
Vincent Odongo, Sonja M. Leitner, Thomas P. F. Dowling, Ilona Gluecks, Marcin Jackowicz‐Korczynski, Janne Rinne, Martin J. Wooster, Lutz Merbold   +7 more
wiley   +1 more source

Estimating Magnitude Completeness in Earthquake Catalogs: A Comparative Study of Catalog‐Based Methods

Journal of Geophysical Research: Solid Earth, Volume 130, Issue 9, September 2025.
Abstract Without careful attention to the earthquake catalog completeness, claims of novel discoveries or forecasting skills lack credibility. Estimating the completeness magnitude (Mc) is therefore a critical step in seismological analysis. Among the available techniques, catalog‐based methods are the most accessible and widely adopted, and they also ...
Xinyi Wang, Jiawei Li, Ao Feng, Didier Sornette   +3 more
wiley   +1 more source

Implicit cubic B-spline scheme for the fractional Black-Scholes model with Caputo-Hadamard derivative [PDF]

Journal of Mahani Mathematical Research
In this study, we introduce a novel numerical scheme for solving the Black–Scholes equation endowed with a Caputo-Hadamard fractional time derivative. The temporal derivative is discretized via a finite-difference approach, ensuring both stability and ...
Roya Montazeri
doaj   +1 more source

Registered index‐linked annuities in qualified retirement plans

Journal of Risk and Insurance, Volume 92, Issue 3, Page 665-691, September 2025.
Abstract Many Americans remain financially underprepared for retirement. While automatic enrollment in employer‐sponsored retirement plans has helped, target‐date funds (TDFs) used as default investments have limitations. We propose target‐date registered index‐linked annuities (TD‐RILAs) as a transparent, cost‐effective alternative providing ...
Cameron Ellis, Thorsten Moenig, Jacqueline Volkman‐Wise   +2 more
wiley   +1 more source