, 2007 We show that the problem of recovering the time-dependent parameters of an equation of Black-Scholes type can be formulated as an inverse Stieltjes moment problem. An application to the problem of implied volatility calculation in the case when the model
Marianito R Rodrigo (20192331) +1 more
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Barrier Options and a Reflection Principle of the Fractional Brownian Motion [PDF]
The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion.fractional
Cipian Necula
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Numerical investigation of the fractional diffusion wave equation with exponential kernel via cubic B-Spline approach. [PDF]
PLoS One, 2023 Shafiq M +5 more
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An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market [PDF]
, 2005 Includes bibliographical references.The assumption of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset.
Chen, Hung-Hsiang
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Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment. [PDF]
Entropy (Basel), 2023 Nowak P, Pawłowski M.
europepmc +1 more source
An optimization method for studying fractional-order tuberculosis disease model via generalized Laguerre polynomials. [PDF]
Soft comput, 2023 Avazzadeh Z +5 more
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A hybrid method for solution of the fractional black-scholes equation
Bu tez çalışmasında, kesirli mertebeden türeve sahip Black-Scholes (BS) opsiyon fiyatlama denkleminin Conformable Laplace Ayrışım Yöntemi (CLAY) ile çözümüne yer verilmiştir.
Özçiftçi, Ayşe
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Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model [PDF]
For option whose striking price equals the forward price of the underlying asset, the Black-Scholes pricing formula can be approximated in closed-form. A interesting result is that the derived equation is not only very simple in structure but also that ...
paolo pianca
core
Variational quantum evolution equation solver. [PDF]
Sci Rep, 2022 Leong FY, Ewe WB, Koh DE.
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Iterative spectral methods for Hamilton-Jacobi-Bellman quasi-variational inequality in finance. [PDF]
PLoS OneLei M, Lu Z.
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