A NEW MODEL FOR STOCK PRICE MOVEMENTS [PDF]
This paper presents a new alternative diffusion model for asset price movements. In contrast to the popular approach of Brownian Motion it proposes Deterministic Diffusion for the modelling of stock price movements.
Guido VENIER
core
High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation. [PDF]
, 2016 Yuri Dimitrov, Lubin G. Vulkov
openalex +3 more sources
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
An efficient numerical method based on exponential B-splines for time-fractional Black-Scholes equation governing European options [PDF]
, 2022 Anshima Singh, Sunil Kumar
openalex +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 +5 more
europepmc +1 more source
Comparative Analysis of the Time-Fractional Black–Scholes Option Pricing Equations (BSOPE) by the Laplace Residual Power Series Method (LRPSM) [PDF]
, 2023 Muhammad Imran Liaqat, Eric Okyere
openalex +1 more source
An efficient wavelet method for the time‐fractional Black–Scholes equations [PDF]
Boonrod Yuttanan +2 more
openalex +1 more source
Application of the Esscher Transform to Pricing Forward Contracts on Energy Markets in a Fuzzy Environment. [PDF]
Entropy (Basel), 2023 Nowak P, Pawłowski M.
europepmc +1 more source
An optimization method for studying fractional-order tuberculosis disease model via generalized Laguerre polynomials. [PDF]
Soft comput, 2023 Avazzadeh Z +5 more
europepmc +1 more source