Results 161 to 170 of about 28,474 (179)

Lie symmetry, exact solutions and conservation laws of time fractional Black–Scholes equation derived by the fractional Brownian motion

Journal of Applied Analysis
The Black–Scholes equation is an important analytical tool for option pricing in finance. This paper discusses the Lie symmetry analysis of the time fractional Black–Scholes equation derived by the fractional Brownian motion.
Jicheng Yu
semanticscholar   +1 more source

On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options

Applicable Analysis, 2020
This paper investigates a time-fractional Black-Scholes equation with an implied volatility which is assumed to be associated with underlying price. Two aspects are considered. One is for the forward problem, i.e.
Xiaoying Jiang, Xiang Xu
semanticscholar   +1 more source

Stable approximation of unbounded matrix operators for the simultaneous inversion of source terms and initial values in time-fractional Black–Scholes equation

Journal of Inverse and Ill-Posed Problems
This paper is devoted to identifying source term and initial value simultaneously in a time-fractional Black–Scholes equation, which is an ill-posed problem.
Shuang Yu, Hongqi Yang
semanticscholar   +1 more source

A Hybrid Spectral-Finite Difference Method for Numerical Pricing of Time-Fractional Black–Scholes Equation

Computational Economics, 2023
Nasibeh Mollahasani
semanticscholar   +1 more source

A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options

, 2020
P. Roul
semanticscholar   +1 more source

A space-time spectral method for time-fractional Black-Scholes equation

Applied Numerical Mathematics, 2021
Xingyu An, Fawang Liu, Minling Zheng, V. Anh, Ian L Turner   +4 more
semanticscholar   +1 more source

A novel numerical scheme for a time fractional Black–Scholes equation

Journal of Applied Mathematics and Computation, 2020
Mianfu She, Lili Li, Renxuan Tang, Dongfang Li   +3 more
semanticscholar   +1 more source

Numerical solution of time-fractional Black–Scholes equation

Computational and Applied Mathematics, 2016
M. Koleva, L. Vulkov
semanticscholar   +1 more source

Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option

, 2021
H. Mesgarani, S. Ahanj, Y. E. Aghdam
semanticscholar   +1 more source

Numerically Pricing Nonlinear Time-Fractional Black–Scholes Equation with Time-Dependent Parameters Under Transaction Costs

Computational Economics, 2021
M. Mirarkolaei, Ahmadreza Yazdanian, Ali Ashrafi, Seyed Mahdi Mahmoudi   +3 more
semanticscholar   +1 more source