Results 61 to 70 of about 158 (125)

An interior penalty method for a parabolic complementarity problem involving a fractional Black-Scholes operator

Journal of Inequalities and Applications
In this paper, an interior penalty method is proposed to solve a parabolic complementarity problem involving fractional Black–Scholes operator arising in pricing American options under a geometric Lévy process.
Yarui Duan, Song Wang, Yuying Zhou, Leijun Zhu   +3 more
doaj   +1 more source

Efficient High-Accuracy Numerical Scheme for the Solution of Time Fractional Parabolic Partial Differential Equations With Application in Financial Modeling

Journal of Mathematics
Parabolic partial equations, particularly the Black–Scholes equation, are fundamental in mathematical finance for option pricing and risk management. Despite their widespread use, efficiently solving these equations remains a challenge, especially in ...
Hadis Azin, Ali Iloon Kashkooly
doaj   +1 more source

Galerkin approach by certain shifted Jacobi polynomials for solving the time-fractional Black-Scholes equation

Boundary Value Problems
This work presents a spectral Galerkin approach for solving the time-fractional Black-Scholes equation (TFBSE) used in option pricing models, considering memory effects. We use certain shifted Jacobi polynomials as the basis functions.
A. G. Atta, M. A. Abdelkawy, Anna Napoli, W. M. Abd-Elhameed   +3 more
doaj   +1 more source

Optimal Algebras and Novel Solutions of Time-Fractional 2+1−D European Call Option Model

Discrete Dynamics in Nature and Society
In this article, we analyse the time-fractional 2+1−D Black–Scholes model for European call options by employing Lie symmetry analysis. We derive the infinitesimal transformations and classify the optimal systems.
Gimnitz Simon S., B. Bira, Sathiyaraj Thambiayya   +2 more
doaj   +1 more source

Approximate Analytical Solution of the Black–Scholes Model with Two Assets Based on the ABC Time-Fractional Derivative

Axioms
The classical Black–Scholes model assumes Markovian dynamics and cannot capture the long-range dependence and gradual memory decay observed in real markets.
Kamonchat Trachoo, Inthira Chaiya, Din Prathumwan   +2 more
doaj   +1 more source

Numerically pricing American and European options using a time fractional Black–Scholes model in financial decision-making

Alexandria Engineering Journal
The time fractional Black–Scholes equation (TFBSE) is designed to evaluate price fluctuations within a correlated fractal transmission system. This model prices American or European put and call options on non-dividend-paying stocks.
Omid Nikan, Jalil Rashidinia, Hossein Jafari   +2 more
doaj   +1 more source

A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model. [PDF]

Comput Econ, 2023
Kharrat M, Arfaoui H.
europepmc   +1 more source

Quantum effects in an expanded Black-Scholes model. [PDF]

Eur Phys J B, 2022
Bhatnagar A, Vvedensky DD.
europepmc   +1 more source

Numerical investigation of the fractional diffusion wave equation with exponential kernel via cubic B-Spline approach. [PDF]

PLoS One, 2023
Shafiq M, Abbas M, Emadifar H, Alzaidi AS, Nazir T, Aini Abdullah F.   +5 more
europepmc   +1 more source

Analysis of Atangana-Baleanu fractional-order SEAIR epidemic model with optimal control. [PDF]

Adv Differ Equ, 2021
Deressa CT, Duressa GF.
europepmc   +1 more source