## Found 489 Documents (Results 1–100)

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### An efficient method for solving two-asset time fractional Black-Scholes option pricing model. (English)Zbl 07569367

MSC:  91G80 35R11 65M12
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### Application of two-dimensional Fibonacci wavelets in fractional partial differential equations arising in the financial market. (English)Zbl 07549869

MSC:  76M22 65T60 26A33
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### An accurate and stable numerical method for option hedge parameters. (English)Zbl 07545326

MSC:  91Gxx 65Mxx 35Qxx
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### On some properties of the option price related to the solution of the Black-Scholes equation. (English)Zbl 1487.91138

MSC:  91G20 35Q91
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### Calibration of the temporally varying volatility and interest rate functions. (English)Zbl 07513125

MSC:  68-XX 65-XX
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### Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method. (English)Zbl 07484242

MSC:  91Gxx 91Bxx 65Mxx
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### An efficient hybrid numerical method for the two-asset Black-Scholes PDE. (English)Zbl 07569346

MSC:  91G80 65M06 65M12
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MSC:  82-XX
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MSC:  82-XX
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### An integration preconditioning method for solving option pricing problems. (English)Zbl 07476569

MSC:  65-XX 41-XX
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### A fractional reduced differential transform method for solving time fractional Black Scholes American option pricing equation. (English)Zbl 07473725

MSC:  62P05 91G20 35Q91
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### An inverse Black-Scholes problem. (English)Zbl 07460633

MSC:  37N40 91G20
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MSC:  91Gxx
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MSC:  91G20
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### The pricing problem for a class of permanent American option. (Chinese. English summary)Zbl 07403819

MSC:  91G20 60G40
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### The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes. (English)Zbl 1473.91032

MSC:  91G60 65M70 35R11
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### A compact finite difference scheme for fractional Black-Scholes option pricing model. (English)Zbl 1467.91215

MSC:  91G60 65M06 91G20
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### Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options. (English)Zbl 07336203

MSC:  91-XX 62-XX
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### Group classification for a class of non-linear models of the RAPM type. (English)Zbl 1452.91306

MSC:  91G20 22E60 91G80
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### Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method. (English)Zbl 1484.91517

MSC:  91G60 65M06 91G20
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### Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation. (English)Zbl 07511246

MSC:  26A33 34K37
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### On the white noise of the option on future. (English)Zbl 1479.91414

MSC:  91G20 60H40
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MSC:  91G20
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### The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method. (English)Zbl 1480.91319

MSC:  91G60 91G20 65D12
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### Multigrid method for a fully nonlinear Black-Scholes equation. (English)Zbl 07376207

MSC:  91G60 35K10 65M06

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### On Black-Scholes option pricing model with stochastic volatility: an information theoretic approach. (English)Zbl 1470.91269

MSC:  91G20 35Q91 44A10
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### Pricing European and American options by SPH method. (English)Zbl 07336576

MSC:  91-XX 76-XX
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### A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing. (English)Zbl 07318021

MSC:  65Mxx 35Rxx
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### Asian option pricing under sub-fractional Brownian motion with jump. (Chinese. English summary)Zbl 1463.91176

MSC:  91G20 60G22

### The integral equation formula of American option pricing in the fractional Black-Scholes model. (English)Zbl 1463.91158

MSC:  91G20 45G10 60G40

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### The fitted finite volume and power penalty methods for option pricing. (English)Zbl 1458.91008

SpringerBriefs in Applied Sciences and Technology. Mathematical Methods. Singapore: Springer (ISBN 978-981-15-9557-8/pbk; 978-981-15-9558-5/ebook). viii, 94 p. (2020).
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### Solving fractional Black-Scholes European option pricing equations by Aboodh transform decomposition method. (Solving fractional Black-Scholes Eruopean option pricing equations by Aboodh transform decomposition method.) (English)Zbl 1457.91366

MSC:  91G20 26A33
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### Domain of influence of local volatility function on the solutions of the general Black-Scholes equation. (English)Zbl 1452.91327

MSC:  91G60 65N06 91G20

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### The chaotic Black-Scholes equation with time-dependent coefficients. (English)Zbl 07217594

MSC:  47D06 91G80 35Q91
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### Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity. (English)Zbl 1436.91110

MSC:  91G20 91A80
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MSC:  82-XX
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MSC:  82-XX
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### A combined compact difference scheme for option pricing in the exponential jump-diffusion models. (English)Zbl 1487.91161

MSC:  91G60 65M06 91G20
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### Vulnerable options pricing under uncertain volatility model. (English)Zbl 07459343

MSC:  60H10 60J75 60J70
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### On the new form of the option price of the foreign currency related to Black-Scholes formula. (English)Zbl 1479.91402

MSC:  91G20 35Q91
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### The asymptotic behavior of the solutions of the Black-Scholes equation as volatility $$\sigma\rightarrow 0^+$$. (English)Zbl 1442.35174

MSC:  35K10 35B25 91G20
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### The discovering of the new option price of the stock price related to the Nobel Prize work of F. Black and M. Scholes. (English)Zbl 1441.91076

MSC:  91G20 35K05 35Q91
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### On the behavior of two types of expectations of a random process with log-normal distribution. (English. Russian original)Zbl 1459.60101

J. Contemp. Math. Anal., Armen. Acad. Sci. 54, No. 5, 313-318 (2019); translation from Izv. Nats. Akad. Nauk Armen., Mat. 2019, No. 5, 82-89 (2019).
MSC:  60G51
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### Algorithm for determining the volatility function in the Black-Scholes model. (English. Russian original)Zbl 1437.91430

Comput. Math. Math. Phys. 59, No. 10, 1753-1758 (2019); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 10, 1815-1820 (2019).
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### Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition. (English)Zbl 1431.91434

MSC:  91G60 65M06 91G20
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### Construction of the Black-Scholes PDE with jump-diffusion model. (English)Zbl 1428.35142

MSC:  35J99 35R60 60H15
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### Numerical solutions of Black-Scholes integro-differential equations with convergence analysis. (English)Zbl 1418.65202

MSC:  65R20 91G60 65C30
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### Numerical simulation of partial differential equations via local meshless method. (English)Zbl 1416.65372

MSC:  65M70 35Q53
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### Pricing options on investment project expansions under commodity price uncertainty. (English)Zbl 1415.65195

MSC:  65M06 91G20 91G60
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### On properties of solutions to Black-Scholes-Barenblatt equations. (English)Zbl 1459.35359

MSC:  35Q91 91G15
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MSC:  91G20
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MSC:  82-XX
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### Valuing options in shot noise market. (English)Zbl 07549588

MSC:  91G20 45K05
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### Symmetry reduction and exact solutions of the non-linear Black-Scholes equation. (English)Zbl 1470.35141

MSC:  35G20 35A30 35Q91
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### On the kernel of the Black-Scholes equation for the option price on future related to the Black-Scholes formula. (English)Zbl 1441.35239

MSC:  35Q91 35K05 91G20
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### On the Delta-hedging of the option price on future from the Black-Scholes equation. (English)Zbl 1441.35240

MSC:  35Q91 35K05 91G20
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### Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models. (English)Zbl 1427.35322

MSC:  35R11 35Q91
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### The homo separation analysis method for solving the partial differential equation. (English)Zbl 1416.35018

MSC:  35A25 35G25 35Q91
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