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   Articles with "black scholes" as a keyword



Fractional model and solution for the Black-Scholes equation

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recommendations! Published in 2017 at "Mathematical Methods in The Applied Sciences"

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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recommendations! Published in 2018 at "Computational Economics"

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
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Solving Black–Scholes equations using fractional generalized homotopy analysis method

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recommendations! Published in 2020 at "Computational and Applied Mathematics"

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
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A comparative analysis of housing prices in different cities using the Black–Scholes and Jump Diffusion models

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recommendations! Published in 2021 at "Finance Research Letters"

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

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recommendations! 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

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recommendations! 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
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A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation

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recommendations! Published in 2021 at "International Journal of Computer Mathematics"

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

Analytical Solutions of Heat‐Like Equation Using Elzaki Transform Variational Iteration Method: Black–Scholes Equation

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recommendations! Published in 2025 at "Complexity"

DOI: 10.1155/cplx/6693481

Abstract: This paper presents the application of the Elzaki variational iteration method to solve the Black–Scholes model, which can be formulated as a heat‐like partial differential equation with specified initial conditions. The Black–Scholes equation is fundamental… read more here.

Keywords: equation; iteration; variational iteration; iteration method ... See more keywords

Using a Mix of Finite Difference Methods and Fractional Differential Transformations to Solve Modified Black–Scholes Fractional Equations

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recommendations! Published in 2024 at "Mathematics"

DOI: 10.3390/math12071077

Abstract: This paper discusses finding solutions to the modified Fractional Black–Scholes equation. As is well known, the options theory is beneficial in the stock market. Using call-and-pull options, investors can theoretically decide when to sell, hold,… read more here.

Keywords: fractional differential; method; fractional black; finite difference ... See more keywords

The Development of Fractional Black–Scholes Model Solution Using the Daftardar-Gejji Laplace Method for Determining Rainfall Index-Based Agricultural Insurance Premiums

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recommendations! Published in 2025 at "Mathematics"

DOI: 10.3390/math13111725

Abstract: The Black–Scholes model is a fundamental concept in modern financial theory. It is designed to estimate the theoretical value of derivatives, particularly option prices, by considering time and risk factors. In the context of agricultural… read more here.

Keywords: rainfall index; fractional black; scholes model; insurance ... See more keywords

Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model

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recommendations! Published in 2024 at "Risks"

DOI: 10.3390/risks12090136

Abstract: We present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences… read more here.

Keywords: scholes merton; unified model; asset pricing; model ... See more keywords