Results 81 to 90 of about 4,903 (187)

Numerical Simulations for Time-Fractional Black-Scholes Equations

This paper implements an efficient numerical algorithm for the time-fractional Black-Scholes model governing European options. The proposed method comprises the Crank-Nicolson approach to discretize the time variable and exponential B-spline approximation for the space variable. The implemented method is unconditionally stable. We present few numerical
Garg, Neetu, Kanth, A. S. V. Ravi
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Solving Black-Schole Equation Using Standard Fractional Brownian Motion

Journal of Mathematics Research, 2019
In this paper, we emphasize the Black-Scholes equation using standard fractional Brownian motion BHwith the hurst index H ∈ [0,1]. N. Ciprian (Necula, C. (2002)) and Bright and Angela (Bright, O., Angela, I., & Chukwunezu (2014)) get the same formula for the evaluation of a Call and Put of a fractional European with the different ...
Didier Alain Njamen Njomen, Eric Djeutcha   +1 more
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Tournament incentives and reserve management

Risk Management and Insurance Review, Volume 28, Issue 4, Page 499-533, Winter 2025.
Abstract This paper examines the impact of internal tournament incentives on reserve management within the property‐liability insurance industry. We find a positive relationship between internal tournament incentives and reserve errors, suggesting that a larger tournament prize is associated with more conservative loss‐reserve management.
Gene Lai, Ahmet Nart, Chia‐Ling Ho, Gunratan Lonare   +3 more
wiley   +1 more source

Fractional Order Stochastic Differential Equation with Application in European Option Pricing

Discrete Dynamics in Nature and Society, 2014
Memory effect is an important phenomenon in financial systems, and a number of research works have been carried out to study the long memory in the financial markets.
Qing Li, Yanli Zhou, Xinquan Zhao, Xiangyu Ge   +3 more
doaj   +1 more source

Numerical methods for fractional Black-Scholes equations and their applications to option pricing

, 2023
This thesis focuses on the modification of the classical Black-Scholes equation by introducing fractional derivatives instead of the usual integer order derivatives. The project has two main parts: (1) develop efficient numerical methods, such as finite difference methods and a space-time spectral method, for the resulting fractional partial ...
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Approximate Solution for Fractional Black-Scholes European Option Pricing Equation

Al-Mukhtar Journal of Sciences, 2023
The Black-Scholes equation is one of the most significant mathematical models for a financial market. In this paper, the homotopy perturbation method is combined with Mohand transform to obtain the approximate solution of the fractional Black-Scholes European option pricing equation. The fractional derivative is considered in the Caputo sense.
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A Robust Numerical Simulation of a Fractional Black–Scholes Equation for Pricing American Options

Journal of Nonlinear Mathematical Physics
Abstract After the discovery of fractal structures of financial markets, fractional partial differential equations (fPDEs) became very popular in studying dynamics of financial markets. Available research results involves two key modelling aspects; firstly, derivation of tractable asset pricing models, those that closely reflects the actual ...
Patidar, Kailash C, Nuugulu, S M, Gideon, F   +2 more
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An interior penalty method for a parabolic complementarity problem involving a fractional Black-Scholes operator

Journal of Inequalities and Applications
In this paper, an interior penalty method is proposed to solve a parabolic complementarity problem involving fractional Black–Scholes operator arising in pricing American options under a geometric Lévy process.
Yarui Duan, Song Wang, Yuying Zhou, Leijun Zhu   +3 more
doaj   +1 more source

RANDOM WALKS AND FRACTAL STRUCTURES IN AGRICULTURAL COMMODITY FUTURES PRICES [PDF]

This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are ...
Turvey, Calum G.
core   +1 more source

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