Black and Scholes' equation
On the Interconnectedness of Schrodinger and Black Scholes Equation
... a Black-Scholes equation by using tools of quantum physics pertaining in that sense to Hamiltonian operator, path integrals, completeness equation, intro- ducing ket and bra ...to ...
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On the Parametric Interest of the Option Price from the Black-Scholes Equation
... the Black-Scholes equation which depend on the interest rate r and the volatility σ and later is named the parametric ...the Black- Scholes equation that may be either weak or ...
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AN ANALYSIS OF THE DAILY VARIATION OF THE VALUE OF AN OPTION OF A SHARE THROUGH THE BLACK-SCHOLES EQUATION
... One difficulty that remained for a long time was how to establish the prize amount to be paid to the launcher, once each sort of asset had specifications that made it difficult to deduce the amount to be paid for the ...
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On the White Noise of the Price of Stocks related to the Option Prices from the Black-Scholes Equation
... Abstract— In this paper, we study the white noise from the stock model and obtained some interesting properties. Moreover such white noise can be applied to the black-scholes equation in the form of ...
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An adaptive moving mesh method for a time fractional Black–Scholes equation
... B–S equation. When the coefficients of the time-fractional B–S equation are related to time τ , a priori information of the exact solution is difficult to ...time-fractional Black–Scholes ...
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Black Scholes Equation with the Variable Risk free Interest Rate
... the Black-Scholes equation with the variable risk-free interest rate by combinding with the idea of stage by ...coefficient equation, ...
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The use of iterative methods for solving Black-Scholes equation
... Table 1, shows that, approximate solution of the Black-Scholes equation is convergence with 14 itera- tions by using the HAM . By comparing the results of Table 1, we can observe that the HAM is more ...
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The Operator Splitting Method for Black Scholes Equation
... In this paper, Black-Scholes equation is solved as a call option problem by variants of splitting method numeri- cally. The comparison of the results obtained by various splitting methods (see Tables ...
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A universal difference method for time space fractional Black Scholes equation
... B-S equation, so it is important to study its numerical ...pricing equation by homotopy perturbation method with coupling of the Laplace transform ...B-S equation with boundary condition by homotopy ...
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A class of intrinsic parallel difference methods for time space fractional Black–Scholes equation
... fractional Black–Scholes (B–S) equation in the option pricing problems, in this paper, we construct pure alternative segment explicit–implicit (PASE-I) and pure alternative segment implicit–explicit ...
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Properties of utility function for Barles and Soner model
... In 1998, Barles and Soner [2], derived a model assuming that investor’s preferences are characterized by an exponential utility function. They used an exponential utility function and proved - using the theory of ...
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The Equation of Real Option Value under Trinomial Tree Model
... The numerical computation of real option value is very important in the eva- luating of venture investment. We develop a trinomial tree pricing model of the real option, and prove that the equation of real option ...
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Valuing a European option with the Heston model
... This chapter is going to test the Heston model by contrasting results with the Black-Scholes equation, in order to see which method is superior. Many effects are related to the time-series dynamics ...
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European option pricing of fractional Black-Scholes model with new Lagrange multipliers
... classical Black-Scholes equation was established under some strict ...fractional Black- Scholes models [4, 27, 20] are derived by replacing the standard Brownian motion involved in the ...
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NUMERICAL SOLUTION OF BLACK – SCHOLES PARTIAL DIFFERENTIAL EQUATION USING DIRECT SOLUTION OF SECOND - ORDER ORDINARY DIFFERENTIAL EQUATION WITH TWO - STEP HYBRID BLOCK METHOD OF ORDER SEVEN
... of Black-Scholes Partial Differential Equation using Direct solution of second-order Ordinary Differential Equation ODE with two-step hybrid Block Method of Order seven ...collocation ...
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Numerical Schemes and Monte Carlo Method for Black and Scholes Partial Differential Equation: A Comparative Note
... The Black–Scholes equation is a partial differential equation which describes the evolution of an option price over ...the equation is that one can perfectly hedge the option by buying ...
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Alternative Approach for the Solution of the Black Scholes Partial Differential Equation for European Call Option
... the Black-Scholes model using the convolution property of the Mellin transform ...the Black-Scholes equation using the Mellin ...the Black-Scholes equation for the ...
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Analytical Solution of the Time-fractional Order Black-Scholes Model for Stock Option Valuation on No Dividend Yield Basis
... time-fractional Black-Scholes equation for European call option via a proposed relatively new semi-analytic technique hereby referred to as Projected Differential Transform Method ...time-fractional ...
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An Accurate Numerical Integrator for the Solution of Black Scholes Financial Model Equation
... differential equation that must be satisfied by the price of any derivative se- curity dependent on a non-dividend-paying stock ...the Black-Scholes equation [4] [5]. However, the Black ...
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Monte Carlo methods in derivative modelling
... Another area in the literature focuses on the static hedging of barrier options. This strand of research is pioneered by Bowie and Carr [18] and Derman et al. [26]. Carr and Chou [19] and Carr et al. [20] use a simple ...
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