Results 41 to 50 of about 17,205,246 (164)
Results in Applied MathematicsThe objective of this study is to examine the dynamic components of option pricing in the European put option market by utilizing the two-dimensional time fractional-order Black–Scholes equation.
Mohammad Hossein Akrami +2 more
doaj +1 more source
Network Effects in Corporate Emissions: Evidence from a Data‐Dependent Spatial Panel Model
Journal of Money, Credit and Banking, EarlyView.Abstract We study spillover effects in corporate toxic emissions using a heterogeneous panel of U.S. industrial facilities from 2000 to 2023. Rather than imposing a network structure a priori, we uncover an unobserved web of influence directly from the data using recent advances in high‐dimensional network econometrics.
STYLIANOS ASIMAKOPOULOS +3 more
wiley +1 more source
Contingent capital: A tale of two valuations
Journal of Risk and Insurance, EarlyView.Abstract This study investigates the valuation gap between buyers and sellers of insurers' contingent capital, driven by asymmetric exposures to tax benefits, capital injections, and bankruptcy costs. We develop a novel Twin‐Tree Model with Jumps (TTMJ) that models the insurer's asset value dynamics by incorporating catastrophe risk, insolvency risk ...
Tian‐Shyr Dai +3 more
wiley +1 more source
Fractional Black–Scholes equation
, 2017 In this paper, it has been shown that the combined use of exponential operators and special functions provides a powerful tool to solve certain class of generalized space fractional Laguerre heat equation.
A. Aghili
core +1 more source
Analysing time-fractional exotic options via efficient local meshless method
Results in Physics, 2020 In this article, we analyse the numerical simulation of the time-fractional Black-Scholes model governing butterfly spread option, digital option and double barrier option.
Mustafa Inc +5 more
doaj +1 more source
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
Fading Attention and the Pricing of Default Risk in the German Market for Structured Products
Journal of Futures Markets, Volume 46, Issue 10, Page 1787-1808, October 2026.ABSTRACT Structured retail products are unsecured bonds subject to the default risk of the issuer. We analyze the price‐setting policy of issuers with respect to this default risk. Using a long‐term data set of discount certificates in the German market, we apply a time series IVX‐approach to find that (i) quoted prices do depend on issuer default risk,
Rainer Baule, Falk Jensen
wiley +1 more source
A New Version of Black Scholes Equation Presented by Time-Fractional Derivative
, 2018 In this article, a new time-fractional-order Black–Scholes equation has been derived. In this derivation, the asset price satisfies in a fractional-order stochastic differential equation.
SalehiM., ErjaeeG.H., FarhadiA.
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Laplace Decomposition Method for Solving Fractional Black-Scholes European Option Pricing Equation [PDF]
, 2020 Fractional calculus is related to derivatives and integrals with the order is not an integer. Fractional Black-Scholes partial differential equation to determine the price of European-type call options is an application of fractional calculus in the ...
Owoyemi, Abiodun Ezekiel +3 more
core +1 more source
, 2019 In this paper, we present the solution of Black-Scholes fractional partial differential equation with two assets in the Caputo fractional derivative sense by the Aboodh decomposition method.
Alfaqeih, S. +3 more
core +1 more source