Results 41 to 50 of about 28,474 (179)
Lie symmetry analysis of a fractional Black-Scholes equation [PDF]
, 2019 In 2000, Walter Wyss looked into the fractional version of the Black-Scholes equation for the first time. He gave a solution of the fractional Black-Scholes equation by using the Greens function [14].
Chong, Kam Yoon, O'Hara, John G
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Martingale Option Pricing [PDF]
, 2007 We show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price.
Bassler, K. E. +2 more
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A hybrid Chelyshkov wavelet-finite differences method for time-fractional black-Scholes equation [PDF]
Journal of Mahani Mathematical ResearchIn this paper, a hybrid method for solving time-fractional Black-Scholes equation is introduced for option pricing. The presented method is based on time and space discretization.
Seyyed Amjad Samareh Hashemi +2 more
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Hedging in fractional Black-Scholes model with transaction costs [PDF]
, 2017 We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit ...
Shokrollahi, Foad, Sottinen, Tommi
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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
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Long memory stochastic volatility in option pricing
, 2004 The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range dependence.
Fedotov, Sergei, Tan, Abby
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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 +2 more
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Conditional-Mean Hedging Under Transaction Costs in Gaussian Models [PDF]
, 2017 We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions.
Sottinen, Tommi, Viitasaari, Lauri
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The Numerical Solution of Fractional Black-Scholes-Schrodinger Equation Using the RBFs Method
Advances in Mathematical Physics, 2020 In this paper, radial basis functions (RBFs) method was used to solve a fractional Black-Scholes-Schrodinger equation in an option pricing of financial problems. The RBFs method is applied in discretizing a spatial derivative process.
Naravadee Nualsaard +2 more
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A Delayed Black and Scholes Formula I [PDF]
, 2006 In this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to fit real market
Bachelier L. +21 more
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