Results 51 to 60 of about 4,828 (174)

Implicit cubic B-spline scheme for the fractional Black-Scholes model with Caputo-Hadamard derivative [PDF]

Journal of Mahani Mathematical Research
In this study, we introduce a novel numerical scheme for solving the Black–Scholes equation endowed with a Caputo-Hadamard fractional time derivative. The temporal derivative is discretized via a finite-difference approach, ensuring both stability and ...
Roya Montazeri
doaj   +1 more source

Urban and Power Plant NOx Emissions in Sub‐Saharan Africa Inferred From TROPOMI

Journal of Geophysical Research: Atmospheres, Volume 131, Issue 4, 28 February 2026.
Abstract Nitrogen oxides (NOx) emissions are increasing rapidly in Sub‐Saharan Africa, affecting local air quality. Outside South Africa, most hotspots are relatively small, posing a challenge for traditional top‐down inversions. We tailor an existing top‐down wind rotation and Gaussian plume fit inversion to suit the relatively small NOx hotspots for ...
Eloise A. Marais, Nana Wei, Eric Y. P. Tan, Gongda Lu, Sekou Keita, Mogesh Naidoo, Rebecca M. Garland   +6 more
wiley   +1 more source

A Novel Fourth-Order Finite Difference Scheme for European Option Pricing in the Time-Fractional Black–Scholes Model

Mathematics
This paper addresses the valuation of European options, which involves the complex and unpredictable dynamics of fractal market fluctuations. These are modeled using the α-order time-fractional Black–Scholes equation, where the Caputo fractional ...
Xin Cai, Yihong Wang
doaj   +1 more source

Fractional smoothness and applications in finance

, 2010
This overview article concerns the notion of fractional smoothness of random variables of the form $g(X_T)$, where $X=(X_t)_{t\in [0,T]}$ is a certain diffusion process.
A. Friedman, B. Bouchard, C. Bennet, C. Geiss, C. Geiss, D. Nualart, E. Gobet, E. Gobet, E. Gobet, E. Temam, F. Hirsch, H. Rootzen, I. Karatzas, J. Bergh, J. Jacod, J. Jacod, J. Zhang, J.P. Lemor, M. Hujo, N. El Karoui, N. Taleb, R. Avikainen, S. Geiss, S. Geiss, S. Geiss, S. Watanabe, T. Hayashi, T.G. Kurtz   +27 more
core   +4 more sources

Multithread Approximation: An OpenMP Constructor

Concurrency and Computation: Practice and Experience, Volume 38, Issue 4, February 2026.
ABSTRACT This study introduces an OpenMP construct designed to simplify and unify the integration of approximate computing techniques into shared‐memory parallel programs. Approximate Computing leverages the inherent error tolerance of many applications to trade computational accuracy for gains in performance and energy efficiency.
João Briganti de Oliveira, Rogério Aparecido Gonçalves, João Fabrício Filho   +2 more
wiley   +1 more source

Dynamic Debt With Intensity‐Based Models

Journal of Futures Markets, Volume 46, Issue 2, Page 334-352, February 2026.
ABSTRACT This article proposes a dynamic debt model where the face value of debt can change. In particular, our dynamic debt setting allows debt changes ruled by intensity processes that are linked to the firm value through the correlation between the stochastic processes. Analytical solutions are obtained, and we extend the proposed dynamic debt model
João Miguel Reis, José Carlos Dias
wiley   +1 more source

N2 fixation is linked to the ability to encroach in African savanna trees

Functional Ecology, Volume 40, Issue 2, Page 517-533, February 2026.
Read the free Plain Language Summary for this article on the Journal blog. Abstract Encroachment is a globally ubiquitous phenomenon, characterised by increasing indigenous tree densities in savanna and grassland. Encroachment has been attributed to rising atmospheric CO2 concentrations fertilising tree growth and shifting the competitive balance ...
Elizabeth M. Telford, Kimberley Simpson, Lorna Street, Emily Fletcher, Richard Carkeek, Russell B. Dixon, Katie J. Field, Emma Jones, Sarah L. Raubenheimer, Edith Singini, Brad Ripley, Colin P. Osborne, Caroline E. R. Lehmann   +12 more
wiley   +1 more source

Robust option replication for a Black-Scholes model extended with nondeterministic trends [PDF]

, 2012
Statistical analysis on various stocks reveals long range dependence behavior of the stock prices that is not consistent with the classical Black and Scholes model.
Kloeden, Peter E., Schoenmakers, John G. M.   +1 more
core  

Supply chain risk in grain trading: Inventories as real options for shipping grain

Agribusiness, Volume 42, Issue 1, Page 175-195, Winter 2026.
Abstract Integrating trading and logistics is an important challenge in commodity trading. Trading and logistics are strategic decisions and are integral to most commodities including grain shipping by rail, in addition to other modes (barges, ocean shipping). There are substantial risks, such as the ordering and placement of rail cars.
William W. Wilson, Jesse Klebe
wiley   +1 more source

Fractional diffusion models of option prices in markets with jumps. [PDF]

Most of the recent literature dealing with the modeling of financial assets assumes that the underlying dynamics of equity prices follow a jump process or a Lévy process. This is done to incorporate rare or extreme events not captured by Gaussian models.
Cartea, Álvaro, Castillo Negrete, Diego del   +1 more
core   +3 more sources