Fractional model and solution for the Black-Scholes equation
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DOI: 10.1002/mma.4638
Abstract: This work presents a new model of the fractional Black-Scholes equation by using the right fractional derivatives to model the terminal value problem. Through nondimensionalization and variable replacements, we convert the terminal value problem into… read more here.
Keywords: black scholes; value problem; model; scholes equation ... See more keywords
Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function
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DOI: 10.1007/s10614-017-9715-3
Abstract: The purpose of this paper is to obtain an explicit solutions of the fractional Black–Scholes model with a weak payoff function. To do this, we derive fractional Black–Scholes equation by creating a self-financing portfolio strategy… read more here.
Keywords: weak payoff; black scholes; model weak; fractional black ... See more keywords
Solving Black–Scholes equations using fractional generalized homotopy analysis method
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DOI: 10.1007/s40314-020-01306-4
Abstract: This paper aims to solve the Black–Scholes (B–S) model for the European options pricing problem using a hybrid method called fractional generalized homotopy analysis method (FGHAM). The convergence region of the B–S model solutions are… read more here.
Keywords: black scholes; homotopy analysis; method; analysis method ... See more keywords
A comparative analysis of housing prices in different cities using the Black–Scholes and Jump Diffusion models
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DOI: 10.1016/j.frl.2021.102241
Abstract: Abstract This study investigates the price structure of urban housing markets comparing the Black–Scholes model and Merton’s jump diffusion model with the expectation–maximization algorithm. As price jump information is hidden within the price change itself,… read more here.
Keywords: jump diffusion; black scholes; housing; cities using ... See more keywords
A different approach to the European option pricing model with new fractional operator
Sign Up to like & getrecommendations! Published in 2018 at "Mathematical Modelling of Natural Phenomena"
DOI: 10.1051/mmnp/2018009
Abstract: In this work, we have derived an approximate solution of the fractional Black-Scholes models using an iterative method. The fractional differentiation operator used in this paper is the well-known conformable derivative. Firstly, we redefine the… read more here.
Keywords: black scholes; option pricing; different approach; fractional black ... See more keywords
Modification terms to the Black–Scholes model in a realistic hedging strategy with discrete temporal steps
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Computer Mathematics"
DOI: 10.1080/00207160.2018.1542135
Abstract: ABSTRACT Option pricing models generally require the assumption that stock prices are described by continuous-time stochastic processes. Although the time-continuous trading is easy to conceive theoretically, it is practically impossible to execute in real markets.… read more here.
Keywords: hedging strategy; black scholes; time; realistic hedging ... See more keywords
A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation
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DOI: 10.1080/00207160.2020.1804554
Abstract: The research on the numerical solution of the two-dimensional Black–Scholes equation (the quanto options pricing model) has important theoretical significance and practical value. We propose a class of parallel difference methods for the quanto options… read more here.
Keywords: difference; black scholes; dimensional black; two dimensional ... See more keywords
Invariant Solutions of Black-Scholes Equation with Ornstein-Uhlenbeck Process
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DOI: 10.3390/sym13050847
Abstract: This paper analyses the model of Black–Scholes option pricing from the point of view of the group theoretic approach. The study identified new independent variables that lead to the transformation of the Black–Scholes equation. Furthermore,… read more here.
Keywords: invariant solutions; black scholes; ornstein uhlenbeck; process ... See more keywords