Results 71 to 80 of about 4,828 (174)

SOLUTIONS OF A TIME FRACTIONAL BLACK-SCHOLES EQUATION UNDER THE CONSTANT ELASTICITY OF VARIANCE PROCESS [PDF]

, 2023
Kangqun Zhang
openalex   +1 more source

Dynamic hedging of financial instruments when the underlying follows a non-Gaussian process. [PDF]

Traditional dynamic hedging strategies are based on local information (ie Delta and Gamma) of the financial instruments to be hedged. We propose a new dynamic hedging strategy that employs non-local information and compare the profit and loss (P&L ...
Cartea, Álvaro
core  

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

Long Memory Options: Valuation [PDF]

This paper graphically demonstrates the significant impact of the observed financial market persistence, i.e., long term memory or dependence, on European option valuation.
CORNELIS A. LOS, SUTTHISIT JAMDEE
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Comparative Study of Two Semi-analytical Methods for the Solution of Time-Fractional Black-Scholes Equation in a Caputo Sense [PDF]

, 2020
Sunday Emmanuel Fadugba, Olaronke Helen Edogbanya   +1 more
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A posteriori grid method for a time-fractional Black-Scholes equation

, 2022
Zhongdi Cen, Jian Huang, Aimin Xu
openalex   +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

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

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
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An empirical model of volatility of returns and option pricing [PDF]

This paper reports several entirely new results on financial market dynamics and option pricing We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian.
Gunaratne, Gemunu H., McCauley, Joseph L.   +1 more
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