[HTML][HTML] Numerically pricing American and European options using a time fractional Black–Scholes model in financial decision-making
Abstract The time fractional Black–Scholes equation (TFBSE) is designed to evaluate price
fluctuations within a correlated fractal transmission system. This model prices American or …
fluctuations within a correlated fractal transmission system. This model prices American or …
Sub mixed fractional Brownian motion and its application to finance
P Ma, A Najafi, JF Gomez-Aguilar - Chaos, Solitons & Fractals, 2024 - Elsevier
The paper focuses on the valuation of the European contract as a vanilla option and the
Arithmetic Asian contract as an exotic option, where the underlying asset price is driven by …
Arithmetic Asian contract as an exotic option, where the underlying asset price is driven by …
An efficient computational method for solving the fractional form of the European option price PDE with transaction cost under the fractional Heston model
This paper introduces a new method for precise option pricing analysis by utilizing the
fractional form of the option price partial differential equation (PDE) and implementing a …
fractional form of the option price partial differential equation (PDE) and implementing a …
Stability analysis study for the time-fractional Galilei invariant advection-diffusion model of distributive order using an efficient hybrid approach
In this manuscript, a new model of the time-fractional Galilei-invariant advection-diffusion
model of distributed order is studied. An efficient hybrid numerical approach with high …
model of distributed order is studied. An efficient hybrid numerical approach with high …
[PDF][PDF] PRICING ASIAN OPTIONS IN UNCERTAIN STOCHASTIC MARKETS WITH JUMPS
Objective: In practice, the securities industry is characterized by processes exhibiting both
randomness and Liu's uncertainty, sometimes called uncertainty. This study proposes Asian …
randomness and Liu's uncertainty, sometimes called uncertainty. This study proposes Asian …