Results 31 to 40 of about 17,205,246 (164)

An adaptive moving mesh method for a time-fractional Black–Scholes equation

Advances in Difference Equations, 2019
In this paper we study the numerical method for a time-fractional Black–Scholes equation, which is used for option pricing. The solution of the fractional-order differential equation may be singular near certain domain boundaries, which leads to ...
Jian Huang, Zhongdi Cen, Jialiang Zhao
doaj   +1 more source

Compact Difference Schemes with Temporal Uniform/Non-Uniform Meshes for Time-Fractional Black–Scholes Equation

Fractal and Fractional, 2023
In this paper, we are interested in the effective numerical schemes of the time-fractional Black–Scholes equation. We convert the original equation into an equivalent integral-differential equation and then discretize the time-integral term in the ...
Jie Gu, Lijuan Nong, Qian Yi, An Chen
doaj   +1 more source

Numerical solution of the time fractional Black–Scholes model governing European options [PDF]

, 2016
When considering the price change of the underlying fractal transmission system, a fractional Black–Scholes(B-S) model with an αα-order time fractional derivative is derived.
Turner, I., Yang, Q., Zhang, H., Liu, F.
core   +1 more source

Inverse Multiquadric Function to Price Financial Options under the Fractional Black–Scholes Model

Fractal and Fractional, 2022
The inverse multiquadric radial basis function (RBF), which is one of the most important functions in the theory of RBFs, is employed on an adaptive mesh of points for pricing a fractional Black–Scholes partial differential equation (PDE) based on the ...
Yanlai Song, Stanford Shateyi
doaj   +1 more source

Numerical Solution of Fractional Black-Scholes Equation by Using the Multivariate Padé Approximation [PDF]

, 2017
In this study, a new application of multivariate Padé approximation method has been used for solving European vanilla call option pricing problem. Padé polynomials have occurred for the fractional Black-Scholes equation, according to the relations of ...
N. Özdemir, Yavuz, M., Özdemir, N., M. Yavuz   +3 more
core   +1 more source

Solution of time fractional Black-Scholes European option pricing equation arising in financial market

Nonlinear Engineering, 2016
In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation.
Ravi Kanth A.S.V., Aruna K.
doaj   +1 more source

Numerical Solution of Fractional Black-Scholes Equation by Using Radial Basis Function (RBF) Approximation Method

پژوهش‌های ریاضی, 2020
Introduction Fractional Differential Calculus (FDC) began in the 17th century and its initial discussions were related to the works of Leibniz, Lagrange, Abel and others.
Sedighe Sharifian, Ali R. Siheili, A. Neisy   +2 more
doaj  

Analytical Investigation of Some Time-Fractional Black–Scholes Models by the Aboodh Residual Power Series Method

Mathematics, 2023
In this study, we use a new approach, known as the Aboodh residual power series method (ARPSM), in order to obtain the analytical results of the Black–Scholes differential equations (BSDEs), which are prime for judgment of European call and put options ...
Muhammad Imran Liaqat, Ali Akgül, Hanaa Abu-Zinadah   +2 more
doaj   +1 more source

Board Independence and Adjustment Speed of CEO Inside Debt

European Financial Management, EarlyView.
ABSTRACT We find that firms with more independent directors adjust CEO inside debt towards an optimum more quickly. This effect is more pronounced in financially unconstrained, growth, and under‐levered firms, and also firms led by more powerful or overconfident CEOs.
Bonnie Buchanan, Shuhui Wang, Tina Yang
wiley   +1 more source

Qualitative financial modelling in fractal dimensions

Financial Innovation
The Black–Scholes equation is one of the most important partial differential equations governing the value of financial derivatives in financial markets. The Black–Scholes model for pricing stock options has been applied to various payoff structures, and
Rami Ahmad El-Nabulsi, Waranont Anukool
doaj   +1 more source