Results 91 to 100 of about 28,474 (179)

The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application [PDF]

The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Frederiksen, Per H., Høg, Espen P.
core  

An empirical model of volatility of returns and option pricing [PDF]

This paper reports several entirely new results on financial market dynamics and option pricing We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian.
Gunaratne, Gemunu H., McCauley, Joseph L.   +1 more
core   +1 more source

Optimal Algebras and Novel Solutions of Time-Fractional 2+1−D European Call Option Model

Discrete Dynamics in Nature and Society
In this article, we analyse the time-fractional 2+1−D Black–Scholes model for European call options by employing Lie symmetry analysis. We derive the infinitesimal transformations and classify the optimal systems.
Gimnitz Simon S., B. Bira, Sathiyaraj Thambiayya   +2 more
doaj   +1 more source

Numerically pricing American and European options using a time fractional Black–Scholes model in financial decision-making

Alexandria Engineering Journal
The time fractional Black–Scholes equation (TFBSE) is designed to evaluate price fluctuations within a correlated fractal transmission system. This model prices American or European put and call options on non-dividend-paying stocks.
Omid Nikan, Jalil Rashidinia, Hossein Jafari   +2 more
doaj   +1 more source

A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model. [PDF]

Comput Econ, 2023
Kharrat M, Arfaoui H.
europepmc   +1 more source

High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation. [PDF]

, 2016
Yuri Dimitrov, Lubin G. Vulkov
openalex   +3 more sources

Quantum effects in an expanded Black-Scholes model. [PDF]

Eur Phys J B, 2022
Bhatnagar A, Vvedensky DD.
europepmc   +1 more source

Numerical investigation of the fractional diffusion wave equation with exponential kernel via cubic B-Spline approach. [PDF]

PLoS One, 2023
Shafiq M, Abbas M, Emadifar H, Alzaidi AS, Nazir T, Aini Abdullah F.   +5 more
europepmc   +1 more source

Modeling Asset Prices [PDF]

As an asset is traded, its varying prices trace out an interesting time series. The price, at least in a general way, reflects some underlying value of the asset.
James E. Gentle, Wolfgang Karl Härdle
core  

An efficient numerical method based on exponential B-splines for time-fractional Black-Scholes equation governing European options [PDF]

, 2022
Anshima Singh, Sunil Kumar
openalex   +1 more source