Cen, Zhongdi; Huang, Jian; Le, Anbo; Xu, Aimin Pricing a resettable convertible bond based on decomposition method and PDE models. (English) Zbl 07820984 Results Appl. Math. 21, Article ID 100423, 14 p. (2024). MSC: 35K20 35K60 35R35 91B28 PDFBibTeX XMLCite \textit{Z. Cen} et al., Results Appl. Math. 21, Article ID 100423, 14 p. (2024; Zbl 07820984) Full Text: DOI
Ahmadi Balootaki, Parisa; Ghaziani, Reza Khoshsiar; Fardi, Mojtaba; Majid, Kajani Tavassoli Analysis of a kernel-based method for some pricing financial options. (English) Zbl 07811145 Comput. Methods Differ. Equ. 12, No. 1, 16-30 (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{P. Ahmadi Balootaki} et al., Comput. Methods Differ. Equ. 12, No. 1, 16--30 (2024; Zbl 07811145) Full Text: DOI
Becker, Sebastian; Jentzen, Arnulf; Müller, Marvin S.; von Wurstemberger, Philippe Learning the random variables in Monte Carlo simulations with stochastic gradient descent: machine learning for parametric PDEs and financial derivative pricing. (English) Zbl 07790868 Math. Finance 34, No. 1, 90-150 (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C05 65C30 91G20 PDFBibTeX XMLCite \textit{S. Becker} et al., Math. Finance 34, No. 1, 90--150 (2024; Zbl 07790868) Full Text: DOI arXiv OA License
Beliavskiĭ, Gregoriĭ Isaakovich; Danilova, Natal’ya Viktorovna Models with uncertain volatility. (Russian. English summary) Zbl 07804256 Vestn. Yuzhno-Ural. Gos. Univ., Ser. Mat. Model. Program. 16, No. 3, 5-19 (2023). MSC: 91G60 65C05 65M06 91G20 PDFBibTeX XMLCite \textit{G. I. Beliavskiĭ} and \textit{N. V. Danilova}, Vestn. Yuzhno-Ural. Gos. Univ., Ser. Mat. Model. Program. 16, No. 3, 5--19 (2023; Zbl 07804256) Full Text: DOI MNR
Gu, Jie; Nong, Lijuan; Yi, Qian; Chen, An Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation. (English) Zbl 07798677 Netw. Heterog. Media 18, No. 4, 1692-1712 (2023). MSC: 91G60 65M06 35R11 PDFBibTeX XMLCite \textit{J. Gu} et al., Netw. Heterog. Media 18, No. 4, 1692--1712 (2023; Zbl 07798677) Full Text: DOI
Ahmad, Manzoor; Mishra, Raishree; Jain, Renu Modified differential transform method for solving Black-Scholes pricing model of European option valuation paying continuous dividends. (English) Zbl 07793057 J. Partial Differ. Equations 36, No. 4, 381-393 (2023). MSC: 91G20 91G80 35Q91 PDFBibTeX XMLCite \textit{M. Ahmad} et al., J. Partial Differ. Equations 36, No. 4, 381--393 (2023; Zbl 07793057) Full Text: DOI
Song, Kerui; Lyu, Pin A high-order and fast scheme with variable time steps for the time-fractional Black-Scholes equation. (English) Zbl 07781286 Math. Methods Appl. Sci. 46, No. 2, 1990-2011 (2023). MSC: 65M06 65M12 35R11 91-08 PDFBibTeX XMLCite \textit{K. Song} and \textit{P. Lyu}, Math. Methods Appl. Sci. 46, No. 2, 1990--2011 (2023; Zbl 07781286) Full Text: DOI arXiv
Ahmad, Manzoor; Mishra, Rajshree; Jain, Renu Analytical solution of time fractional Black-Scholes equation with two assets through new Sumudu transform iterative method. (English) Zbl 1522.91256 Gulf J. Math. 15, No. 1, 42-56 (2023). MSC: 91G20 35R11 33E12 PDFBibTeX XMLCite \textit{M. Ahmad} et al., Gulf J. Math. 15, No. 1, 42--56 (2023; Zbl 1522.91256) Full Text: DOI
Abdi-Mazraeh, Somayeh; Irandoust-Pakchin, Safar; Rezapour, Shahram Efficient Numerical pricing of American options based on multiple shooting method: a PDE approach. (English) Zbl 07744425 Appl. Anal. 102, No. 12, 3223-3242 (2023). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{S. Abdi-Mazraeh} et al., Appl. Anal. 102, No. 12, 3223--3242 (2023; Zbl 07744425) Full Text: DOI
Alziary, Bénédicte; Takáč, Peter Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations. (English) Zbl 1527.35429 S\(\vec{\text{e}}\)MA J. 80, No. 3, 353-379 (2023). MSC: 35Q91 35A16 91G40 35K58 91G60 91G20 65M06 65M60 65C05 PDFBibTeX XMLCite \textit{B. Alziary} and \textit{P. Takáč}, S\(\vec{\text{e}}\)MA J. 80, No. 3, 353--379 (2023; Zbl 1527.35429) Full Text: DOI arXiv
Bakirova, L. N.; Shurygina, M. A.; Shurygin, V. V. jun. Symmetries of the Black-Scholes-Merton equation for European options. (English) Zbl 1521.91355 Lobachevskii J. Math. 44, No. 4, 1256-1263 (2023). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G20 35B06 PDFBibTeX XMLCite \textit{L. N. Bakirova} et al., Lobachevskii J. Math. 44, No. 4, 1256--1263 (2023; Zbl 1521.91355) Full Text: DOI arXiv
Bansal, Saurabh; Natesan, Srinivasan Richardson extrapolation technique for generalized Black-Scholes PDEs for European options. (English) Zbl 1524.65313 Comput. Appl. Math. 42, No. 5, Paper No. 238, 17 p. (2023). MSC: 65M06 65M12 65M15 91G20 91G60 35Q91 65B05 PDFBibTeX XMLCite \textit{S. Bansal} and \textit{S. Natesan}, Comput. Appl. Math. 42, No. 5, Paper No. 238, 17 p. (2023; Zbl 1524.65313) Full Text: DOI
Dautov, R. Z. A penalty method for American multi-asset option problems. (English) Zbl 1514.35275 Lobachevskii J. Math. 44, No. 1, 269-281 (2023). MSC: 35K85 35Q91 91G20 PDFBibTeX XMLCite \textit{R. Z. Dautov}, Lobachevskii J. Math. 44, No. 1, 269--281 (2023; Zbl 1514.35275) Full Text: DOI
Rodrigo, Marianito R. On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics. (English) Zbl 1514.47068 Appl. Anal. 102, No. 1, 220-238 (2023). MSC: 47D06 47N10 45K05 91G20 91G80 35A22 65R20 PDFBibTeX XMLCite \textit{M. R. Rodrigo}, Appl. Anal. 102, No. 1, 220--238 (2023; Zbl 1514.47068) Full Text: DOI
Klibanov, Mikhail V.; Golubnichiy, Kirill V.; Nikitin, Andrey V. Quasi-reversibility method and neural network machine learning for forecasting of stock option prices. (English) Zbl 1518.91312 Nguyen, Dinh-Liem (ed.) et al., Recent advances in inverse problems for partial differential equations. AMS special session on recent developments on analysis and computation for inverse problems for PDEs, virtual, March 13–14, 2021 and AMS special session on recent advances in inverse problems for PDEs, virtual, October 23–23, 2021. Providence, RI: American Mathematical Society (AMS). Contemp. Math. 784, 129-144 (2023). MSC: 91G60 65M99 91G20 68T07 PDFBibTeX XMLCite \textit{M. V. Klibanov} et al., Contemp. Math. 784, 129--144 (2023; Zbl 1518.91312) Full Text: DOI
Cho, Junhyun; Yang, Donghee; Kim, Yejin; Lee, Sungchul An operator splitting method for multi-asset options with the Feynman-Kac formula. (English) Zbl 07667337 Comput. Math. Appl. 135, 93-101 (2023). MSC: 91G60 65M06 65M70 91G20 35R11 PDFBibTeX XMLCite \textit{J. Cho} et al., Comput. Math. Appl. 135, 93--101 (2023; Zbl 07667337) Full Text: DOI
Nabubie, Bashiruddin; Wang, Song Numerical techniques for determining implied volatility in option pricing. (English) Zbl 1505.91414 J. Comput. Appl. Math. 422, Article ID 114913, 12 p. (2023). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{B. Nabubie} and \textit{S. Wang}, J. Comput. Appl. Math. 422, Article ID 114913, 12 p. (2023; Zbl 1505.91414) Full Text: DOI
Kazmi, Kamran A second order numerical method for the time-fractional Black-Scholes European option pricing model. (English) Zbl 1502.91058 J. Comput. Appl. Math. 418, Article ID 114647, 17 p. (2023). MSC: 91G60 65N06 65D25 65D30 65B05 35R09 35R11 35Q91 45K05 65R20 65M12 91G20 PDFBibTeX XMLCite \textit{K. Kazmi}, J. Comput. Appl. Math. 418, Article ID 114647, 17 p. (2023; Zbl 1502.91058) Full Text: DOI
Gulen, Seda; Sari, Murat A Fréchet derivative-based novel approach to option pricing models in illiquid markets. (English) Zbl 07787270 Math. Methods Appl. Sci. 45, No. 2, 899-913 (2022). MSC: 91G60 65M06 65F10 91G20 PDFBibTeX XMLCite \textit{S. Gulen} and \textit{M. Sari}, Math. Methods Appl. Sci. 45, No. 2, 899--913 (2022; Zbl 07787270) Full Text: DOI
Taghipour, M.; Aminikhah, H. A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model. (English) Zbl 1507.91238 Chaos Solitons Fractals 163, Article ID 112571, 10 p. (2022). MSC: 91G60 91G20 35R11 65M70 65M06 PDFBibTeX XMLCite \textit{M. Taghipour} and \textit{H. Aminikhah}, Chaos Solitons Fractals 163, Article ID 112571, 10 p. (2022; Zbl 1507.91238) Full Text: DOI
Abdi, N.; Aminikhah, H.; Refahi Sheikhani, A. H. High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options. (English) Zbl 1506.91181 Chaos Solitons Fractals 162, Article ID 112423, 18 p. (2022). MSC: 91G60 91G20 65M06 65M12 PDFBibTeX XMLCite \textit{N. Abdi} et al., Chaos Solitons Fractals 162, Article ID 112423, 18 p. (2022; Zbl 1506.91181) Full Text: DOI
Zhang, Min; Zhang, Guo-Feng Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing. (English) Zbl 1507.91239 Numer. Algorithms 91, No. 4, 1559-1575 (2022). MSC: 91G60 65M06 65N06 65F10 65F08 65F50 65F55 65N20 65N22 65Y05 15B05 26A33 35R11 91G20 35Q91 PDFBibTeX XMLCite \textit{M. Zhang} and \textit{G.-F. Zhang}, Numer. Algorithms 91, No. 4, 1559--1575 (2022; Zbl 1507.91239) Full Text: DOI
Klibanov, Michael V.; Shananin, Aleksander A.; Golubnichiy, Kirill V.; Kravchenko, Sergey M. Forecasting stock options prices via the solution of an ill-posed problem for the Black-Scholes equation. (English) Zbl 1501.35405 Inverse Probl. 38, No. 11, Article ID 115008, 29 p. (2022). MSC: 35Q91 91G20 91G60 60J65 35R25 35R60 PDFBibTeX XMLCite \textit{M. V. Klibanov} et al., Inverse Probl. 38, No. 11, Article ID 115008, 29 p. (2022; Zbl 1501.35405) Full Text: DOI arXiv
Sarboland, M.; Aminataei, A. On the numerical solution of time fractional Black-Scholes equation. (English) Zbl 1524.65468 Int. J. Comput. Math. 99, No. 9, 1736-1753 (2022). MSC: 65M15 65D32 54D05 65D12 91G20 91G60 35Q91 26A33 35R11 PDFBibTeX XMLCite \textit{M. Sarboland} and \textit{A. Aminataei}, Int. J. Comput. Math. 99, No. 9, 1736--1753 (2022; Zbl 1524.65468) Full Text: DOI
Rezaei, Maryam; Yazdanian, Ahmadreza Pricing European double barrier option with moving barriers under a fractional Black-Scholes model. (English) Zbl 1492.91430 Mediterr. J. Math. 19, No. 4, Paper No. 185, 16 p. (2022). MSC: 91G60 65M06 35R11 65M12 91G20 PDFBibTeX XMLCite \textit{M. Rezaei} and \textit{A. Yazdanian}, Mediterr. J. Math. 19, No. 4, Paper No. 185, 16 p. (2022; Zbl 1492.91430) Full Text: DOI
Xu, Xianhua; Aghdam, Yones Esmaeelzade; Farnam, Behnaz; Jafari, Hossein; Masetshaba, Mantepu Tshepo; Ünlü, Canan Pricing European two-asset option using the spectral method with second-kind Chebyshev polynomials. (English) Zbl 1498.91500 Fractals 30, No. 5, Article ID 2240166, 8 p. (2022). MSC: 91G60 65M70 91G20 35R11 PDFBibTeX XMLCite \textit{X. Xu} et al., Fractals 30, No. 5, Article ID 2240166, 8 p. (2022; Zbl 1498.91500) Full Text: DOI
Delpasand, R.; Hosseini, M. M. An efficient method for solving two-asset time fractional Black-Scholes option pricing model. (English) Zbl 1492.91422 J. Korean Soc. Ind. Appl. Math. 26, No. 2, 121-137 (2022). MSC: 91G60 35R11 65M06 65D12 65M12 91G20 PDFBibTeX XMLCite \textit{R. Delpasand} and \textit{M. M. Hosseini}, J. Korean Soc. Ind. Appl. Math. 26, No. 2, 121--137 (2022; Zbl 1492.91422) Full Text: DOI
Cho, Junhyun; Kim, Yejin; Lee, Sungchul An accurate and stable numerical method for option hedge parameters. (English) Zbl 1510.91181 Appl. Math. Comput. 430, Article ID 127276, 11 p. (2022). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{J. Cho} et al., Appl. Math. Comput. 430, Article ID 127276, 11 p. (2022; Zbl 1510.91181) Full Text: DOI
Kananthai, Amnuay; Thailert, Ekkarath On some properties of the option price related to the solution of the Black-Scholes equation. (English) Zbl 1487.91138 Thai J. Math. 20, No. 1, 503-510 (2022). MSC: 91G20 35Q91 PDFBibTeX XMLCite \textit{A. Kananthai} and \textit{E. Thailert}, Thai J. Math. 20, No. 1, 503--510 (2022; Zbl 1487.91138) Full Text: Link
Mesgarani, Hamid; Ahanj, Sara; Esmaeelzade, Aghdam Yones Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option. (English) Zbl 1499.91174 J. Math. Model. 10, No. 1, 1-10 (2022). MSC: 91G60 65M70 35R11 91G20 PDFBibTeX XMLCite \textit{H. Mesgarani} et al., J. Math. Model. 10, No. 1, 1--10 (2022; Zbl 1499.91174) Full Text: DOI
Christara, Christina C.; Wu, Ruining Penalty and penalty-like methods for nonlinear HJB PDEs. (English) Zbl 1510.65189 Appl. Math. Comput. 425, Article ID 127015, 19 p. (2022). MSC: 65M06 35K57 49L12 65M12 91G20 91G60 PDFBibTeX XMLCite \textit{C. C. Christara} and \textit{R. Wu}, Appl. Math. Comput. 425, Article ID 127015, 19 p. (2022; Zbl 1510.65189) Full Text: DOI
Park, Eunchae; Lyu, Jisang; Kim, Sangkwon; Lee, Chaeyoung; Lee, Wonjin; Choi, Yongho; Kwak, Soobin; Yoo, Changwoo; Hwang, Hyeongseok; Kim, Junseok Calibration of the temporally varying volatility and interest rate functions. (English) Zbl 1496.91091 Int. J. Comput. Math. 99, No. 5, 1066-1079 (2022). MSC: 91G20 91G30 35Q91 PDFBibTeX XMLCite \textit{E. Park} et al., Int. J. Comput. Math. 99, No. 5, 1066--1079 (2022; Zbl 1496.91091) Full Text: DOI
Bayer, Christian; Qiu, Jinniao; Yao, Yao Pricing options under rough volatility with backward SPDEs. (English) Zbl 1484.91469 SIAM J. Financ. Math. 13, No. 1, 179-212 (2022). MSC: 91G20 60H15 60G40 91G60 PDFBibTeX XMLCite \textit{C. Bayer} et al., SIAM J. Financ. Math. 13, No. 1, 179--212 (2022; Zbl 1484.91469) Full Text: DOI arXiv
Li, Nan; Wang, Song; Zhang, Kai Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method. (English) Zbl 1510.91189 Appl. Math. Comput. 421, Article ID 126937, 14 p. (2022). MSC: 91G60 60H15 65C30 91G50 PDFBibTeX XMLCite \textit{N. Li} et al., Appl. Math. Comput. 421, Article ID 126937, 14 p. (2022; Zbl 1510.91189) Full Text: DOI
El-Nabulsi, Rami Ahmad; Golmankhaneh, Alireza Khalili Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation. (English) Zbl 1521.35172 Commun. Theor. Phys. 73, No. 5, Article ID 055002, 8 p. (2021). MSC: 35Q91 91G20 28A80 91B62 PDFBibTeX XMLCite \textit{R. A. El-Nabulsi} and \textit{A. K. Golmankhaneh}, Commun. Theor. Phys. 73, No. 5, Article ID 055002, 8 p. (2021; Zbl 1521.35172) Full Text: DOI
Kushner, Alexei G.; Matviichuk, Ruslan I. Finite dimensional dynamics of evolutionary equations with Maple. (English) Zbl 1503.35238 Ulan, Maria (ed.) et al., Differential geometry, differential equations, and mathematical physics. Proceedings of the Wisła 19 summer school, Wisła, Poland, August 19–29, 2019. Cham: Birkhäuser. Tutor. Sch. Workshops Math. Sci., 123-149 (2021). MSC: 35Q92 35Q91 91G20 65L05 92-08 91G60 PDFBibTeX XMLCite \textit{A. G. Kushner} and \textit{R. I. Matviichuk}, in: Differential geometry, differential equations, and mathematical physics. Proceedings of the Wisła 19 summer school, Wisła, Poland, August 19--29, 2019. Cham: Birkhäuser. 123--149 (2021; Zbl 1503.35238) Full Text: DOI
Zondi, Phumlani Lawrence; Matadi, Maba Boniface Lie group theoretic approach of one-dimensional Black-Scholes equation. (English) Zbl 1524.35656 Aust. J. Math. Anal. Appl. 18, No. 2, Article No. 5, 19 p. (2021). MSC: 35Q91 91G20 PDFBibTeX XMLCite \textit{P. L. Zondi} and \textit{M. B. Matadi}, Aust. J. Math. Anal. Appl. 18, No. 2, Article No. 5, 19 p. (2021; Zbl 1524.35656) Full Text: Link
Hwang, Hyeongseok; Choi, Yongho; Kwak, Soobin; Hwang, Youngjin; Kim, Sangkwon; Kim, Junseok Efficient and accurate finite difference method for the four underlying asset ELS. (English) Zbl 1501.91181 J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 28, No. 4, 329-341 (2021). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{H. Hwang} et al., J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 28, No. 4, 329--341 (2021; Zbl 1501.91181) Full Text: DOI
Batra, Luckshay; Taneja, H. C. Approximate-analytical solution to the information measure’s based quanto option pricing model. (English) Zbl 1498.91428 Chaos Solitons Fractals 153, Part 1, Article ID 111493, 10 p. (2021). MSC: 91G20 PDFBibTeX XMLCite \textit{L. Batra} and \textit{H. C. Taneja}, Chaos Solitons Fractals 153, Part 1, Article ID 111493, 10 p. (2021; Zbl 1498.91428) Full Text: DOI
Delpasand, R.; Hosseini, M. M. An efficient hybrid numerical method for the two-asset Black-Scholes PDE. (English) Zbl 1492.91421 J. Korean Soc. Ind. Appl. Math. 25, No. 3, 93-106 (2021). MSC: 91G60 65M06 65D12 65M12 91G20 PDFBibTeX XMLCite \textit{R. Delpasand} and \textit{M. M. Hosseini}, J. Korean Soc. Ind. Appl. Math. 25, No. 3, 93--106 (2021; Zbl 1492.91421) Full Text: DOI
Ahmad, Manzoor; Mishra, Rajshree; Jain, Renu Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method. (English) Zbl 1499.91133 Fract. Differ. Calc. 11, No. 1, 1-15 (2021). MSC: 91G20 26A33 91G80 35Q91 PDFBibTeX XMLCite \textit{M. Ahmad} et al., Fract. Differ. Calc. 11, No. 1, 1--15 (2021; Zbl 1499.91133) Full Text: DOI
Daouda, Paré; Lamien, Kassiénou; Somé, Longin; Paré, Youssouf Solving generalized linear model of Black-Scholes with classical finite volume method. (English) Zbl 1499.91169 Int. J. Numer. Methods Appl. 20, No. 1, 17-40 (2021). MSC: 91G60 65M08 35F16 35Q91 PDFBibTeX XMLCite \textit{P. Daouda} et al., Int. J. Numer. Methods Appl. 20, No. 1, 17--40 (2021; Zbl 1499.91169) Full Text: DOI
Yan, Ruifang; Yang, Xiaozhong; Sun, Shuzhen A class of explicit-implicit alternating parallel difference methods for the two-dimensional Black-Scholes equation. (English) Zbl 1480.91321 Int. J. Comput. Math. 98, No. 6, 1112-1129 (2021). MSC: 91G60 65M06 65M12 91G20 65Y05 PDFBibTeX XMLCite \textit{R. Yan} et al., Int. J. Comput. Math. 98, No. 6, 1112--1129 (2021; Zbl 1480.91321) Full Text: DOI
Li, Y.; Sam, C. N.; Hon, Y. C.; Ng, K. S. An integration preconditioning method for solving option pricing problems. (English) Zbl 1510.91190 Int. J. Comput. Math. 98, No. 2, 367-388 (2021). MSC: 91G60 65N35 65D12 65D32 91G20 PDFBibTeX XMLCite \textit{Y. Li} et al., Int. J. Comput. Math. 98, No. 2, 367--388 (2021; Zbl 1510.91190) Full Text: DOI
Ahmad, Manzoor; Mishra, Rajshree; Jain, Renu A fractional reduced differential transform method for solving time fractional Black Scholes American option pricing equation. (English) Zbl 1499.91132 Creat. Math. Inform. 30, No. 1, 1-10 (2021). MSC: 91G20 35R11 35Q91 60G40 62P05 PDFBibTeX XMLCite \textit{M. Ahmad} et al., Creat. Math. Inform. 30, No. 1, 1--10 (2021; Zbl 1499.91132) Full Text: DOI
Rezaei, Mirarkolaei Maryam; Yazdanian, Ahmadreza; Mahmoudi, Seyed Mahdi; Ashrafi, Ali A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options. (English) Zbl 1499.65426 Comput. Methods Differ. Equ. 9, No. 2, 523-552 (2021). MSC: 65M06 35R11 91G20 91G60 26A33 PDFBibTeX XMLCite \textit{M. M. Rezaei} et al., Comput. Methods Differ. Equ. 9, No. 2, 523--552 (2021; Zbl 1499.65426) Full Text: DOI
Riane, Nizar; David, Claire An inverse Black-Scholes problem. (English) Zbl 1489.37115 Optim. Eng. 22, No. 4, 2183-2204 (2021). MSC: 37N40 91G20 PDFBibTeX XMLCite \textit{N. Riane} and \textit{C. David}, Optim. Eng. 22, No. 4, 2183--2204 (2021; Zbl 1489.37115) Full Text: DOI
Attipoe, David Sena; Tambue, Antoine Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing. (English) Zbl 1508.91612 Appl. Math. Comput. 401, Article ID 126060, 22 p. (2021). MSC: 91G60 65M06 35K10 91G20 PDFBibTeX XMLCite \textit{D. S. Attipoe} and \textit{A. Tambue}, Appl. Math. Comput. 401, Article ID 126060, 22 p. (2021; Zbl 1508.91612) Full Text: DOI
Tour, Geraldine; Thakoor, Nawdha; Tangman, Désiré Yannick Spectrally accurate option pricing under the time-fractional Black-Scholes model. (English) Zbl 1484.91520 ANZIAM J. 63, No. 2, 228-248 (2021). MSC: 91G60 65M70 65M06 65N35 65M12 65B05 91G20 35Q91 PDFBibTeX XMLCite \textit{G. Tour} et al., ANZIAM J. 63, No. 2, 228--248 (2021; Zbl 1484.91520) Full Text: DOI
Yadrikhinskiĭ, Kh. V.; Fedorov, V. E. Invariant solutions of the Guéant-Pu model of options pricing and hedging. (Russian. English summary) Zbl 1470.91294 Chelyabinskiĭ Fiz.-Mat. Zh. 6, No. 1, 42-51 (2021). MSC: 91G20 PDFBibTeX XMLCite \textit{Kh. V. Yadrikhinskiĭ} and \textit{V. E. Fedorov}, Chelyabinskiĭ Fiz.-Mat. Zh. 6, No. 1, 42--51 (2021; Zbl 1470.91294) Full Text: DOI MNR
Wang, Shu; Yuan, Fang The pricing problem for a class of permanent American option. (Chinese. English summary) Zbl 1488.91143 J. Beijing Norm. Univ., Nat. Sci. 57, No. 2, 180-185 (2021). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{S. Wang} and \textit{F. Yuan}, J. Beijing Norm. Univ., Nat. Sci. 57, No. 2, 180--185 (2021; Zbl 1488.91143) Full Text: DOI
Khajehnasiri, A. A.; Safavi, M. Solving fractional Black-Scholes equation by using Boubaker functions. (English) Zbl 1486.91092 Math. Methods Appl. Sci. 44, No. 11, 8505-8515 (2021). MSC: 91G60 65M99 41A30 26A33 35R11 91G20 35Q91 PDFBibTeX XMLCite \textit{A. A. Khajehnasiri} and \textit{M. Safavi}, Math. Methods Appl. Sci. 44, No. 11, 8505--8515 (2021; Zbl 1486.91092) Full Text: DOI
Wang, Xiang; Li, Jessica; Li, Jichun High order approximation of derivatives with applications to pricing of financial derivatives. (English) Zbl 1486.65212 J. Comput. Appl. Math. 398, Article ID 113675, 12 p. (2021). MSC: 65M70 65M06 65N35 65D12 65M12 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{X. Wang} et al., J. Comput. Appl. Math. 398, Article ID 113675, 12 p. (2021; Zbl 1486.65212) Full Text: DOI
Mesgarani, H.; Beiranvand, A.; Esmaeelzade Aghdam, Y. The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes. (English) Zbl 1473.91032 Math. Sci., Springer 15, No. 2, 137-143 (2021). MSC: 91G60 65M70 35R11 PDFBibTeX XMLCite \textit{H. Mesgarani} et al., Math. Sci., Springer 15, No. 2, 137--143 (2021; Zbl 1473.91032) Full Text: DOI
Roul, Pradip; Goura, V. M. K. Prasad A compact finite difference scheme for fractional Black-Scholes option pricing model. (English) Zbl 1467.91215 Appl. Numer. Math. 166, 40-60 (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{P. Roul} and \textit{V. M. K. P. Goura}, Appl. Numer. Math. 166, 40--60 (2021; Zbl 1467.91215) Full Text: DOI
Georgiev, Slavi G.; Vulkov, Lubin G. Fast reconstruction of time-dependent market volatility for European options. (English) Zbl 1473.91031 Comput. Appl. Math. 40, No. 1, Paper No. 30, 20 p. (2021). MSC: 91G60 65M32 65M06 65K10 35R30 91G20 PDFBibTeX XMLCite \textit{S. G. Georgiev} and \textit{L. G. Vulkov}, Comput. Appl. Math. 40, No. 1, Paper No. 30, 20 p. (2021; Zbl 1473.91031) Full Text: DOI
Shashiashvili, Malkhaz; Dochviri, Besarion; Lominashvili, Giorgi A note on the nonlinear Volterra integral equation for the early exercise boundary. (English) Zbl 1473.91024 Georgian Math. J. 28, No. 2, 305-311 (2021). MSC: 91G20 45D05 60G40 91G80 PDFBibTeX XMLCite \textit{M. Shashiashvili} et al., Georgian Math. J. 28, No. 2, 305--311 (2021; Zbl 1473.91024) Full Text: DOI
Rezaei, M.; Yazdanian, A. R.; Ashrafi, A.; Mahmoudi, S. M. Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options. (English) Zbl 1524.91149 Comput. Math. Appl. 90, 104-111 (2021). MSC: 91G60 65M06 91G20 35R11 60H30 PDFBibTeX XMLCite \textit{M. Rezaei} et al., Comput. Math. Appl. 90, 104--111 (2021; Zbl 1524.91149) Full Text: DOI
Fedorov, Vladimir E.; Dyshaev, Mikhail M. Group classification for a class of non-linear models of the RAPM type. (English) Zbl 1452.91306 Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021). MSC: 91G20 22E60 91G80 PDFBibTeX XMLCite \textit{V. E. Fedorov} and \textit{M. M. Dyshaev}, Commun. Nonlinear Sci. Numer. Simul. 92, Article ID 105471, 10 p. (2021; Zbl 1452.91306) Full Text: DOI
Awasthi, Ashish; Riyasudheen, TK An accurate solution for the generalized Black-Scholes equations governing option pricing. (English) Zbl 1485.91248 AIMS Math. 5, No. 3, 2226-2243 (2020). MSC: 91G60 91G20 60H30 65M06 65M12 PDFBibTeX XMLCite \textit{A. Awasthi} and \textit{T. Riyasudheen}, AIMS Math. 5, No. 3, 2226--2243 (2020; Zbl 1485.91248) Full Text: DOI
Ghanadian, Azadeh; Lotfi, Taher Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method. (English) Zbl 1484.91517 AIMS Math. 5, No. 2, 879-893 (2020). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{A. Ghanadian} and \textit{T. Lotfi}, AIMS Math. 5, No. 2, 879--893 (2020; Zbl 1484.91517) Full Text: DOI
Fadugba, Sunday Emmanuel Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation. (English) Zbl 1496.91100 Chaos Solitons Fractals 141, Article ID 110351, 7 p. (2020). MSC: 91G60 35R11 35Q91 65M99 91G20 PDFBibTeX XMLCite \textit{S. E. Fadugba}, Chaos Solitons Fractals 141, Article ID 110351, 7 p. (2020; Zbl 1496.91100) Full Text: DOI
Rungruang, Chongkolnee; Chanaim, Somsak; Kananthai, Amnuay; Naktnasukanjn, Nathee; Tamprasirt, Anukul; Chandarasupsang, Tirapot On the white noise of the option on future. (English) Zbl 1479.91414 Thai J. Math. 18, No. 4, 1995-1999 (2020). MSC: 91G20 60H40 PDFBibTeX XMLCite \textit{C. Rungruang} et al., Thai J. Math. 18, No. 4, 1995--1999 (2020; Zbl 1479.91414) Full Text: Link
Kananthai, Amnuay; Chanaim, Somsak; Rungruang, Chongkolnee On the parametric interest of the option price of stock from Black-Scholes equation. (English) Zbl 1476.91186 Thai J. Math. 18, No. 2, 831-837 (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{A. Kananthai} et al., Thai J. Math. 18, No. 2, 831--837 (2020; Zbl 1476.91186) Full Text: Link
Prathumwan, Din; Trachoo, Kamonchat On the solution of two-dimensional fractional Black-Scholes equation for European put option. (English) Zbl 1482.91206 Adv. Difference Equ. 2020, Paper No. 146, 9 p. (2020). MSC: 91G20 91G60 26A33 35R11 PDFBibTeX XMLCite \textit{D. Prathumwan} and \textit{K. Trachoo}, Adv. Difference Equ. 2020, Paper No. 146, 9 p. (2020; Zbl 1482.91206) Full Text: DOI
Nualsaard, Naravadee; Luadsong, Anirut; Aschariyaphotha, Nitima The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method. (English) Zbl 1480.91319 Adv. Math. Phys. 2020, Article ID 1942762, 17 p. (2020). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G60 91G20 65D12 PDFBibTeX XMLCite \textit{N. Nualsaard} et al., Adv. Math. Phys. 2020, Article ID 1942762, 17 p. (2020; Zbl 1480.91319) Full Text: DOI
Driouch, Aicha; Al Moatassime, Hassan Multigrid method for a fully nonlinear Black-Scholes equation. (English) Zbl 1488.91159 An. Univ. Craiova, Ser. Mat. Inf. 47, No. 1, 25-34 (2020). MSC: 91G60 35K10 65M06 PDFBibTeX XMLCite \textit{A. Driouch} and \textit{H. Al Moatassime}, An. Univ. Craiova, Ser. Mat. Inf. 47, No. 1, 25--34 (2020; Zbl 1488.91159)
Gafouri, Hamideh; Ranjbar, Mojtaba; Khani, Ali Application of cubic B-spline quasi-interpolation for solving timefractional partial differential equation. (English) Zbl 1474.91245 Comput. Methods Differ. Equ. 8, No. 4, 781-793 (2020). MSC: 91G60 65M06 35R11 44A10 65D07 91G20 PDFBibTeX XMLCite \textit{H. Gafouri} et al., Comput. Methods Differ. Equ. 8, No. 4, 781--793 (2020; Zbl 1474.91245) Full Text: DOI
Batra, Luckshay; Taneja, H. C. On Black-Scholes option pricing model with stochastic volatility: an information theoretic approach. (English) Zbl 1470.91269 Stochastic Anal. Appl. 39, No. 2, 327-338 (2020). MSC: 91G20 35Q91 44A10 PDFBibTeX XMLCite \textit{L. Batra} and \textit{H. C. Taneja}, Stochastic Anal. Appl. 39, No. 2, 327--338 (2020; Zbl 1470.91269) Full Text: DOI
Achchab, B.; Maloum, A. Cheikh; El Idrissi, A. Qadi Pricing European and American options by SPH method. (English) Zbl 07336576 Int. J. Comput. Methods 17, No. 8, Article ID 1950043, 16 p. (2020). MSC: 91-XX 76-XX PDFBibTeX XMLCite \textit{B. Achchab} et al., Int. J. Comput. Methods 17, No. 8, Article ID 1950043, 16 p. (2020; Zbl 07336576) Full Text: DOI
Tian, Zhaowei; Zhai, Shuying; Weng, Zhifeng Compact finite difference schemes of the time fractional Black-Scholes model. (English) Zbl 1461.91360 J. Appl. Anal. Comput. 10, No. 3, 904-919 (2020). MSC: 91G60 65M06 65M15 91G20 PDFBibTeX XMLCite \textit{Z. Tian} et al., J. Appl. Anal. Comput. 10, No. 3, 904--919 (2020; Zbl 1461.91360) Full Text: DOI
Chen, Wen; Wang, Song A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing. (English) Zbl 1510.91180 Math. Comput. Simul. 171, 279-293 (2020). MSC: 91G60 65M06 35R11 PDFBibTeX XMLCite \textit{W. Chen} and \textit{S. Wang}, Math. Comput. Simul. 171, 279--293 (2020; Zbl 1510.91180) Full Text: DOI
Tiwari, Archana; Bhattacharyya, Debanjana; Pati, K. C. Controllabilty and stability analysis on a group associated with Black-Scholes equation. (English) Zbl 1457.93022 Arch. Control Sci. 30, No. 3, 553-573 (2020). MSC: 93B05 93C20 35J10 91G20 93D05 PDFBibTeX XMLCite \textit{A. Tiwari} et al., Arch. Control Sci. 30, No. 3, 553--573 (2020; Zbl 1457.93022) Full Text: DOI
Yang, Yue; Wang, Yongmao Asian option pricing under sub-fractional Brownian motion with jump. (Chinese. English summary) Zbl 1463.91176 Math. Pract. Theory 50, No. 13, 131-140 (2020). MSC: 91G20 60G22 PDFBibTeX XMLCite \textit{Y. Yang} and \textit{Y. Wang}, Math. Pract. Theory 50, No. 13, 131--140 (2020; Zbl 1463.91176)
Lin, Hanyan; Yuan, Yuan The integral equation formula of American option pricing in the fractional Black-Scholes model. (English) Zbl 1463.91158 Math. Pract. Theory 50, No. 12, 293-298 (2020). MSC: 91G20 45G10 60G40 PDFBibTeX XMLCite \textit{H. Lin} and \textit{Y. Yuan}, Math. Pract. Theory 50, No. 12, 293--298 (2020; Zbl 1463.91158)
Driouch, Aicha; Moatassime, Hassan Al Multigrid method for a two dimensional fully nonlinear Black-Scholes equation with a nonlinear volatility function. (English) Zbl 1463.65402 J. Math. Study 53, No. 3, 247-264 (2020). MSC: 65N55 65N06 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{A. Driouch} and \textit{H. A. Moatassime}, J. Math. Study 53, No. 3, 247--264 (2020; Zbl 1463.65402) Full Text: DOI
Uddin, Marjan; Ali, Hazrat Space-time kernel based numerical method for generalized Black-Scholes equation. (English) Zbl 1455.65197 Discrete Contin. Dyn. Syst., Ser. S 13, No. 10, 2905-2915 (2020). Reviewer: Bülent Karasözen (Ankara) MSC: 65M70 65M12 65F50 91G20 91G60 35Q91 PDFBibTeX XMLCite \textit{M. Uddin} and \textit{H. Ali}, Discrete Contin. Dyn. Syst., Ser. S 13, No. 10, 2905--2915 (2020; Zbl 1455.65197) Full Text: DOI
Wang, Song 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). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91-02 91G60 65M08 91G20 PDFBibTeX XMLCite \textit{S. Wang}, The fitted finite volume and power penalty methods for option pricing. Singapore: Springer (2020; Zbl 1458.91008) Full Text: DOI
Ge, Zhihao; Li, Tingting; Wang, Huifang The characteristic finite element method for the pricing problem of two-asset European options. (Chinese. English summary) Zbl 1463.65368 J. Numer. Methods Comput. Appl. 41, No. 1, 27-41 (2020). MSC: 65N30 91G20 91G60 65N15 91B24 PDFBibTeX XMLCite \textit{Z. Ge} et al., J. Numer. Methods Comput. Appl. 41, No. 1, 27--41 (2020; Zbl 1463.65368)
Alfaqeih, S.; Öziş, T. 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 Palest. J. Math. 9, No. 2, 915-924 (2020). MSC: 91G20 26A33 PDFBibTeX XMLCite \textit{S. Alfaqeih} and \textit{T. Öziş}, Palest. J. Math. 9, No. 2, 915--924 (2020; Zbl 1457.91366) Full Text: Link
Kim, Hyundong; Kim, Sangkwon; Han, Hyunsoo; Jang, Hanbyeol; Lee, Chaeyoung; Kim, Junseok Domain of influence of local volatility function on the solutions of the general Black-Scholes equation. (English) Zbl 1452.91327 J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 27, No. 1, 43-50 (2020). Reviewer: Bülent Karasözen (Ankara) MSC: 91G60 65N06 91G20 PDFBibTeX XMLCite \textit{H. Kim} et al., J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 27, No. 1, 43--50 (2020; Zbl 1452.91327)
Bhadane, Pradip R.; Ghadle, Kirtiwant P.; Hamoud, Ahmed A. Approximate solution of fractional Black-Scholes European option pricing equation by using ETHPM. (Approximate solution of fractional Black-Schole’s European option pricing equation by using ETHPM.) (English) Zbl 1453.91106 Nonlinear Funct. Anal. Appl. 25, No. 2, 331-344 (2020). MSC: 91G60 65M99 65R10 35R11 91G20 PDFBibTeX XMLCite \textit{P. R. Bhadane} et al., Nonlinear Funct. Anal. Appl. 25, No. 2, 331--344 (2020; Zbl 1453.91106) Full Text: Link
Ruiz Goldstein, Gisèle; Goldstein, Jerome A.; Kaplin, Michael The chaotic Black-Scholes equation with time-dependent coefficients. (English) Zbl 07217594 Arch. Math. 115, No. 2, 183-194 (2020). MSC: 47D06 91G80 35Q91 PDFBibTeX XMLCite \textit{G. Ruiz Goldstein} et al., Arch. Math. 115, No. 2, 183--194 (2020; Zbl 07217594) Full Text: DOI
Magirou, Evangelos F.; Vassalos, Paraskevas; Barakitis, Nikolaos A policy iteration algorithm for the American put option and free boundary control problems. (English) Zbl 1450.35299 J. Comput. Appl. Math. 373, Article ID 112544, 14 p. (2020). MSC: 35R35 35K20 35K60 91B02 PDFBibTeX XMLCite \textit{E. F. Magirou} et al., J. Comput. Appl. Math. 373, Article ID 112544, 14 p. (2020; Zbl 1450.35299) Full Text: DOI
Matsuda, Takeru; Takemura, Akimichi Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity. (English) Zbl 1436.91110 Japan J. Ind. Appl. Math. 37, No. 1, 213-248 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 91A80 PDFBibTeX XMLCite \textit{T. Matsuda} and \textit{A. Takemura}, Japan J. Ind. Appl. Math. 37, No. 1, 213--248 (2020; Zbl 1436.91110) Full Text: DOI arXiv
Abounouh, Mostafa; Al Moatassime, Hassan; Driouch, Aicha; Goubet, Olivier A constructive method for convex solutions of a class of nonlinear Black-Scholes equations. (English) Zbl 1420.35141 Adv. Nonlinear Anal. 9, 654-664 (2020). MSC: 35K65 35K55 35Q91 91G20 PDFBibTeX XMLCite \textit{M. Abounouh} et al., Adv. Nonlinear Anal. 9, 654--664 (2020; Zbl 1420.35141) Full Text: DOI
Roul, Pradip; Prasad Goura, V. M. K. A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option. (English) Zbl 1418.91602 J. Comput. Appl. Math. 363, 464-484 (2020). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{P. Roul} and \textit{V. M. K. Prasad Goura}, J. Comput. Appl. Math. 363, 464--484 (2020; Zbl 1418.91602) Full Text: DOI
Huang, Jian; Cen, Zhongdi; Zhao, Jialiang An adaptive moving mesh method for a time-fractional Black-Scholes equation. (English) Zbl 1487.65118 Adv. Difference Equ. 2019, Paper No. 516, 14 p. (2019). MSC: 65M06 35R11 91G60 91G20 65M12 PDFBibTeX XMLCite \textit{J. Huang} et al., Adv. Difference Equ. 2019, Paper No. 516, 14 p. (2019; Zbl 1487.65118) Full Text: DOI
Akbari, Rahman; Mokhtari, Reza; Jahandideh, Mohammad Taghi A combined compact difference scheme for option pricing in the exponential jump-diffusion models. (English) Zbl 1487.91161 Adv. Difference Equ. 2019, Paper No. 495, 13 p. (2019). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{R. Akbari} et al., Adv. Difference Equ. 2019, Paper No. 495, 13 p. (2019; Zbl 1487.91161) Full Text: DOI
Biazar, Jafar; Goldoust, Fereshteh Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations. (English) Zbl 1484.91514 AIMS Math. 4, No. 4, 1046-1064 (2019). MSC: 91G60 35Q91 35K10 35R60 60H30 65M70 91G20 PDFBibTeX XMLCite \textit{J. Biazar} and \textit{F. Goldoust}, AIMS Math. 4, No. 4, 1046--1064 (2019; Zbl 1484.91514) Full Text: DOI
Wan, Justin W. L. Multigrid method for pricing European options under the CGMY process. (English) Zbl 1486.91095 AIMS Math. 4, No. 6, 1745-1767 (2019). MSC: 91G60 65M60 65M55 35Q91 PDFBibTeX XMLCite \textit{J. W. L. Wan}, AIMS Math. 4, No. 6, 1745--1767 (2019; Zbl 1486.91095) Full Text: DOI
Zhou, Qing; Li, Xiaonan Vulnerable options pricing under uncertain volatility model. (English) Zbl 1499.91153 J. Inequal. Appl. 2019, Paper No. 315, 16 p. (2019). MSC: 91G20 91G60 60H30 62P05 93E20 PDFBibTeX XMLCite \textit{Q. Zhou} and \textit{X. Li}, J. Inequal. Appl. 2019, Paper No. 315, 16 p. (2019; Zbl 1499.91153) Full Text: DOI
Kananthai, Amnuay; Chanaim, Somsak On the new form of the option price of the foreign currency related to Black-Scholes formula. (English) Zbl 1479.91402 Thai J. Math. 17, No. 2, 527-538 (2019). MSC: 91G20 35Q91 PDFBibTeX XMLCite \textit{A. Kananthai} and \textit{S. Chanaim}, Thai J. Math. 17, No. 2, 527--538 (2019; Zbl 1479.91402) Full Text: Link
Al-Zhour, Zeyad; Barfeie, Mahdiar; Soleymani, Fazlollah; Tohidi, Emran A computational method to price with transaction costs under the nonlinear Black-Scholes model. (English) Zbl 1448.91322 Chaos Solitons Fractals 127, 291-301 (2019). MSC: 91G60 91G20 65M22 65L06 PDFBibTeX XMLCite \textit{Z. Al-Zhour} et al., Chaos Solitons Fractals 127, 291--301 (2019; Zbl 1448.91322) Full Text: DOI
Fall, Aliou Niang; Ndiaye, Seydou Nourou; Sene, Ndolane Black-Scholes option pricing equations described by the Caputo generalized fractional derivative. (English) Zbl 1448.91296 Chaos Solitons Fractals 125, 108-118 (2019). MSC: 91G20 35R11 35Q91 35A35 PDFBibTeX XMLCite \textit{A. N. Fall} et al., Chaos Solitons Fractals 125, 108--118 (2019; Zbl 1448.91296) Full Text: DOI
Wang, Shu; Yuan, Fang The asymptotic behavior of the solutions of the Black-Scholes equation as volatility \(\sigma\rightarrow 0^+\). (English) Zbl 1442.35174 Comput. Math. Appl. 78, No. 3, 1037-1050 (2019). MSC: 35K10 35B25 91G20 PDFBibTeX XMLCite \textit{S. Wang} and \textit{F. Yuan}, Comput. Math. Appl. 78, No. 3, 1037--1050 (2019; Zbl 1442.35174) Full Text: DOI
Kananthai, Amnuay 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 Thai J. Math. 17, No. 1, 63-74 (2019). MSC: 91G20 35K05 35Q91 PDFBibTeX XMLCite \textit{A. Kananthai}, Thai J. Math. 17, No. 1, 63--74 (2019; Zbl 1441.91076) Full Text: Link
Isakov, V. M.; Kabanikhin, S. I.; Shananin, A. A.; Shishlenin, M. A.; Zhang, S. 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). Reviewer: Paweł Kliber (Poznan) MSC: 91G20 91G60 35Q91 65C30 PDFBibTeX XMLCite \textit{V. M. Isakov} et al., Comput. Math. Math. Phys. 59, No. 10, 1753--1758 (2019; Zbl 1437.91430); translation from Zh. Vychisl. Mat. Mat. Fiz. 59, No. 10, 1815--1820 (2019) Full Text: DOI
Heo, Youngjin; Han, Hyunsoo; Jang, Hanbyeol; Choi, Yongho; Kim, Junseok Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition. (English) Zbl 1431.91434 J. Korean Soc. Ind. Appl. Math. 23, No. 1, 19-30 (2019). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{Y. Heo} et al., J. Korean Soc. Ind. Appl. Math. 23, No. 1, 19--30 (2019; Zbl 1431.91434) Full Text: DOI
Guillaume, Tristan On the multidimensional Black-Scholes partial differential equation. (English) Zbl 1456.35100 Ann. Oper. Res. 281, No. 1-2, 229-251 (2019). Reviewer: Miklavž Mastinšek (Maribor) MSC: 35K10 35Q91 91G20 35A08 PDFBibTeX XMLCite \textit{T. Guillaume}, Ann. Oper. Res. 281, No. 1--2, 229--251 (2019; Zbl 1456.35100) Full Text: DOI