Results 61 to 70 of about 17,205,246 (164)
Pricing European and Barrier Options in the Fractional Black-Scholes Market [PDF]
The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
core
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 +2 more
wiley +1 more source
High order compact finite difference schemes for a nonlinear Black-Scholes equation [PDF]
A nonlinear Black-Scholes equation which models transaction costs arising in the hedging of portfolios is discretized semi-implicitly using high order compact finite difference schemes. In particular, the compact schemes of Rigal are generalized.
Michel Fournié +2 more
core
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
A Linear Algorithm for Black Scholes Economic Model [PDF]
The pricing of options is a very important problem encountered in financial domain. The famous Black-Scholes model provides explicit closed form solution for the values of certain (European style) call and put options.
Dumitru FANACHE, Ion SMEUREANU
core
"The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry" [PDF]
This paper is written as a tribute to Professors Robert Merton and Myron Scholes, winners of the 1997 Nobel Prize in economics, as well as to their collaborator, the late Professor Fischer Black.
Terry Marsh, Takao Kobayashi
core
Relativistic Black–Scholes Equation
Ecuación Black-Scholes relativistaEl modelo de Black Scholes presentado en este trabajo es una generalización a la versión relativista que no es muy conocida desde a la versión original de 1973, debido a que sus efectos aún son poco significativos. En el
Sierra Juárez, Guillermo
core +1 more source
Option Pricing in a Fractional Brownian Motion Environment [PDF]
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian ...
Cipian Necula
core
Analysis of a Finite Difference Method for a Time-Fractional Black–Scholes Equation
Fractal and FractionalThe goal of this paper is to give an error analysis of a finite difference method for a time-fractional Black–Scholes equation with weakly singular solutions.
Qingzhao Li +3 more
doaj +1 more source
Block-pulse operational matrix method for solving fractional Black-Scholes equation
, 2017 Purpose The purpose of this paper is to evaluate a European option using the fractional version of the Black-Scholes model. Design/methodology/approach In this paper, the authors employ the block-pulse operational matrix algorithm to approximate the ...
Sabahat Hasanzadeh +3 more
core +1 more source