Search results for "Black-Scholes"

Hits ?▲	Authors	Title	Venue	Year	Link
29	Mohammadreza Foroutan, Ali Ebadian, Hadi Rahmani Fazli	Generalized Jacobi reproducing Kernel method in Hilbert Spaces for solving the Black-Scholes option Pricing Problem arising in Financial modelling.	Math. Model. Anal.	2018	DBLP DOI BibTeX RDF
29	Oleksii Patsiuk, Sergii Kovalenko	Symmetry reduction and exact solutions of the non-linear Black-Scholes equation.	Commun. Nonlinear Sci. Numer. Simul.	2018	DBLP DOI BibTeX RDF
29	Miglena N. Koleva, Lubin G. Vulkov	Fast computational approach to the Delta Greek of non-linear Black-Scholes equations.	J. Comput. Appl. Math.	2018	DBLP DOI BibTeX RDF
29	Vitaly L. Kamynin, Tatiana I. Bukharova	On Inverse Problem of Determination of the Coefficient in the Black-Scholes Type Equation.	FDM	2018	DBLP DOI BibTeX RDF
29	Guojing Zhang, Guixiang Wang	On the Price of European Call Option Based on the Black Scholes Model with Fuzzy Number Coefficients.	ICCAIS	2018	DBLP DOI BibTeX RDF
29	Kazuya Yamamura, Kazuhiro Yasuda	Malliavin sensitivity analysis with polynomial growth payoff functions under the Black-Scholes model.	JSIAM Lett.	2017	DBLP DOI BibTeX RDF
29	Claire David	Control of the Black-Scholes equation.	Comput. Math. Appl.	2017	DBLP DOI BibTeX RDF
29	Rob H. De Staelen, Ahmed S. Hendy	Numerically pricing double barrier options in a time-fractional Black-Scholes model.	Comput. Math. Appl.	2017	DBLP DOI BibTeX RDF
29	Igor Halperin	QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds.	CoRR	2017	DBLP BibTeX RDF
29	Tushar Vaidya, Carlos Murguia, Georgios Piliouras	Learning Agents in Black-Scholes Financial Markets: Consensus Dynamics and Volatility Smiles.	CoRR	2017	DBLP BibTeX RDF
29	Josselin Garnier, Knut Sølna	Correction to Black-Scholes Formula Due to Fractional Stochastic Volatility.	SIAM J. Financial Math.	2017	DBLP DOI BibTeX RDF
29	Miglena N. Koleva, Lubin G. Vulkov	A numerical study for optimal portfolio regime-switching model I. 2D Black-Scholes equation with an exponential non-linear term.	J. Comput. Appl. Math.	2017	DBLP DOI BibTeX RDF
29	Junkee Jeon, Heejae Han, Myungjoo Kang	Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation.	J. Comput. Appl. Math.	2017	DBLP DOI BibTeX RDF
29	Seyed-Mohammad-Mahdi Kazemi, Mehdi Dehghan 0002, Ali Foroush Bastani	Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry.	J. Comput. Appl. Math.	2017	DBLP DOI BibTeX RDF
29	Miglena N. Koleva, Lubin G. Vulkov	A Unified Numerical Approach for a Large Class of Nonlinear Black-Scholes Models.	LSSC	2017	DBLP DOI BibTeX RDF
29	Chiara Guardasoni, Simona Sanfelici	A boundary element approach to barrier option pricing in Black-Scholes framework.	Int. J. Comput. Math.	2016	DBLP DOI BibTeX RDF
29	Karol Duris, Shih-Hau Tan, Choi-Hong Lai, Daniel Sevcovic	Comparison of the Analytical Approximation Formula and Newton's Method for Solving a Class of Nonlinear Black-Scholes Parabolic Equations.	Comput. Methods Appl. Math.	2016	DBLP DOI BibTeX RDF
29	Hongmei Zhang, Fawang Liu, Ian W. Turner, Qianqian Yang 0001	Numerical solution of the time fractional Black-Scholes model governing European options.	Comput. Math. Appl.	2016	DBLP DOI BibTeX RDF
29	Yuri M. Dimitrov, Lubin G. Vulkov	High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation.	CoRR	2016	DBLP BibTeX RDF
29	Junseok Kim, Taekkeun Kim, Jae-Hyun Jo, Yongho Choi, Seunggyu Lee, Hyeongseok Hwang, Minhyun Yoo, Darae Jeong	A practical finite difference method for the three-dimensional Black-Scholes equation.	Eur. J. Oper. Res.	2016	DBLP DOI BibTeX RDF
29	Michael Tehranchi	Uniform Bounds for Black-Scholes Implied Volatility.	SIAM J. Financial Math.	2016	DBLP DOI BibTeX RDF
29	Miglena N. Koleva, Lubin G. Vulkov	A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem.	J. Comput. Appl. Math.	2016	DBLP DOI BibTeX RDF
29	S. Chandra Sekhara Rao, Manisha	High-order Numerical Method for Generalized Black-Scholes Model.	ICCS	2016	DBLP DOI BibTeX RDF
29	Wen Chen 0014, Song Wang 0004	A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation.	NAA	2016	DBLP DOI BibTeX RDF
29	Radoslav L. Valkov	Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation.	Int. J. Comput. Math.	2015	DBLP DOI BibTeX RDF
29	Reza Mohammadi 0001	Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing.	Comput. Math. Appl.	2015	DBLP DOI BibTeX RDF
29	Wen-Ting Chen, Xiang Xu, Song-Ping Zhu	Analytically pricing double barrier options based on a time-fractional Black-Scholes equation.	Comput. Math. Appl.	2015	DBLP DOI BibTeX RDF
29	Radoslav L. Valkov	Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval.	Numer. Algorithms	2015	DBLP DOI BibTeX RDF
29	Sunday O. Edeki, Olabisi O. Ugbebor, Enahoro A. Owoloko	Analytical Solutions of the Black-Scholes Pricing Model for European Option Valuation via a Projected Differential Transformation Method.	Entropy	2015	DBLP DOI BibTeX RDF
29	Olena Burkovska, Bernard Haasdonk, Julien Salomon, Barbara I. Wohlmuth	Reduced Basis Methods for Pricing Options with the Black-Scholes and Heston Models.	SIAM J. Financial Math.	2015	DBLP DOI BibTeX RDF
29	Benjamin Peherstorfer, Pablo Gómez, Hans-Joachim Bungartz	Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation.	Adv. Comput. Math.	2015	DBLP DOI BibTeX RDF
29	Chadd B. Hunzinger, Coenraad C. A. Labuschagne	An Overview of the Black-Scholes-Merton Model After the 2008 Credit Crisis.	Econometrics of Risk	2015	DBLP DOI BibTeX RDF
29	Endre László, Zoltán Nagy 0001, Michael B. Giles, István Z. Reguly, Jeremy Appleyard, Péter Szolgay	Analysis of parallel processor architectures for the solution of the Black-Scholes PDE.	ISCAS	2015	DBLP DOI BibTeX RDF
29	Ioan Mihai Oancea, Stylianos Perrakis	From stochastic dominance to Black-Scholes: An alternative option pricing paradigm.	Risk Decis. Anal.	2014	DBLP DOI BibTeX RDF
29	Hans-Joachim Bungartz, Alexander Heinecke, Dirk Pflüger, Stefanie Schraufstetter	Parallelizing a Black-Scholes solver based on finite elements and sparse grids.	Concurr. Comput. Pract. Exp.	2014	DBLP DOI BibTeX RDF
29	Marco Frasca 0002, Alfonso Farina	Tartaglia-Pascal triangle and Brownian motion in non-euclidean geometries: application to heat and Black-Scholes equations.	Signal Image Video Process.	2014	DBLP DOI BibTeX RDF
29	Vipul Kumar Singh	Competency of Monte Carlo and Black-Scholes in pricing Nifty index options: A vis-à-vis study.	Monte Carlo Methods Appl.	2014	DBLP DOI BibTeX RDF
29	K. M. Tamizhmani, K. Krishnakumar, Peter G. L. Leach	Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters.	Appl. Math. Comput.	2014	DBLP DOI BibTeX RDF
29	Samir Kumar Bhowmik	Fast and efficient numerical methods for an extended Black-Scholes model.	Comput. Math. Appl.	2014	DBLP DOI BibTeX RDF
29	Samir Kumar Bhowmik	Corrigendum to "Fast and efficient numerical methods for an extended Black-Scholes model" [Comput. Math. Appl. (2014) 636-654].	Comput. Math. Appl.	2014	DBLP DOI BibTeX RDF
29	Henry Lam, Zhenming Liu	From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments.	CoRR	2014	DBLP BibTeX RDF
29	Radoslav L. Valkov	Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval.	Numer. Algorithms	2014	DBLP DOI BibTeX RDF
29	Yuri Bozhkov, S. Dimas	Group classification of a generalized Black-Scholes-Merton equation.	Commun. Nonlinear Sci. Numer. Simul.	2014	DBLP DOI BibTeX RDF
29	Gerasimos G. Rigatos	A Kalman filtering approach for detection of option mispricing in the Black-Scholes PDE model.	CIFEr	2014	DBLP DOI BibTeX RDF
29	Reza Ghaffari, Bala Venkatesh 0001	Wind energy forecast error estimation using black & scholes mathematical model.	CCECE	2014	DBLP DOI BibTeX RDF
29	Eleftherios-Nektarios G. Grylonakis, C. K. Filelis-Papadopoulos, George A. Gravvanis	Higher Order Finite Difference Scheme for solving 3D Black-Scholes equation based on Generic Factored Approximate Sparse Inverse Preconditioning using Reordering Schemes.	Panhellenic Conference on Informatics	2014	DBLP DOI BibTeX RDF
29	Miglena N. Koleva, Lubin G. Vulkov	Two-Grid Decoupled Method for a Black-Scholes Increased Market Volatility Model.	NMA	2014	DBLP DOI BibTeX RDF
29	Vassili N. Kolokoltsov	Game theoretic analysis of incomplete markets: emergence of probabilities, nonlinear and fractional Black-Scholes equations.	Risk Decis. Anal.	2013	DBLP DOI BibTeX RDF
29	Donny Citra Lesmana, Song Wang 0004	An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs.	Appl. Math. Comput.	2013	DBLP DOI BibTeX RDF
29	Aldo Tagliani, Mariyan Milev	Laplace Transform and finite difference methods for the Black-Scholes equation.	Appl. Math. Comput.	2013	DBLP DOI BibTeX RDF
29	Hsuan-Ku Liu, Jui-Jane Chang	A closed-form approximation for the fractional Black-Scholes model with transaction costs.	Comput. Math. Appl.	2013	DBLP DOI BibTeX RDF
29	Song Xu, Yujiao Yang	Fractional Black-Scholes Model and Technical Analysis of Stock Price.	J. Appl. Math.	2013	DBLP DOI BibTeX RDF
29	Ji-Hun Yoon, Jeong-Hoon Kim	A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options.	Appl. Math. Lett.	2013	DBLP DOI BibTeX RDF
29	Chang Choo, Lokesh Malhotra, Abhishek Munjal	FPGA-Based Design of Black Scholes Financial Model for High Performance Trading.	J. Inform. and Commun. Convergence Engineering	2013	DBLP DOI BibTeX RDF
29	Abraham J. Arenas, Gilberto González-Parra, Blas Melendez Caraballo	A nonstandard finite difference scheme for a nonlinear Black-Scholes equation.	Math. Comput. Model.	2013	DBLP DOI BibTeX RDF
29	John A. D. Appleby, Markus Riedle, Catherine Swords	Bubbles and crashes in a Black-Scholes model with delay.	Finance Stochastics	2013	DBLP DOI BibTeX RDF
29	Jacob D. Abernethy, Peter L. Bartlett, Rafael M. Frongillo, Andre Wibisono	How to Hedge an Option Against an Adversary: Black-Scholes Pricing is Minimax Optimal.	NIPS	2013	DBLP BibTeX RDF
29	Kai Liu, Xiao Wang	A Pragmatical Option Pricing Method Combining Black-Scholes Formula, Time Series Analysis and Artificial Neural Network.	CIS	2013	DBLP DOI BibTeX RDF
29	Alexander Heinecke, Stefanie Schraufstetter, Hans-Joachim Bungartz	A highly parallel Black-Scholes solver based on adaptive sparse grids.	Int. J. Comput. Math.	2012	DBLP DOI BibTeX RDF
29	Muhammad S. Yousuf, A. Q. M. Khaliq, Britta Kleefeld	The numerical approximation of nonlinear Black-Scholes model for exotic path-dependent American options with transaction cost.	Int. J. Comput. Math.	2012	DBLP DOI BibTeX RDF
29	Zhongdi Cen, Anbo Le, Aimin Xu	Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation.	J. Appl. Math.	2012	DBLP DOI BibTeX RDF
29	Jacob D. Abernethy, Rafael M. Frongillo, Andre Wibisono	Minimax Option Pricing Meets Black-Scholes in the Limit	CoRR	2012	DBLP BibTeX RDF
29	Feng Chen 0034, Jie Shen 0001, Haijun Yu	A New Spectral Element Method for Pricing European Options Under the Black-Scholes and Merton Jump Diffusion Models.	J. Sci. Comput.	2012	DBLP DOI BibTeX RDF
29	Mohan K. Kadalbajoo, Lok Pati Tripathi, Alpesh Kumar	A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation.	Math. Comput. Model.	2012	DBLP DOI BibTeX RDF
29	Georgios Chatziparaskevas, Andreas Brokalakis, Ioannis Papaefstathiou	An FPGA-based parallel processor for Black-Scholes option pricing using finite differences schemes.	DATE	2012	DBLP DOI BibTeX RDF
29	Miglena N. Koleva	Positivity Preserving Numerical Method for Non-linear Black-Scholes Models.	NAA	2012	DBLP DOI BibTeX RDF
29	Tatiana P. Chernogorova, Radoslav L. Valkov	A Positivity-Preserving Splitting Method for 2D Black-Scholes Equations in Stochastic Volatility Models.	NAA	2012	DBLP DOI BibTeX RDF
29	Janos Benk, Dirk Pflüger	Hybrid parallel solutions of the Black-Scholes PDE with the truncated combination technique.	HPCS	2012	DBLP DOI BibTeX RDF
29	Jacob D. Abernethy, Rafael M. Frongillo, Andre Wibisono	Minimax option pricing meets black-scholes in the limit.	STOC	2012	DBLP DOI BibTeX RDF
29	Ekaterina Dremkova, Matthias Ehrhardt 0001	A high-order compact method for nonlinear Black-Scholes option pricing equations of American options.	Int. J. Comput. Math.	2011	DBLP DOI BibTeX RDF
29	Bilal Chanane	Solutions of a class of partial differential equations with application to the Black-Scholes equation.	Appl. Math. Comput.	2011	DBLP DOI BibTeX RDF
29	K. J. in 't Hout, J. A. C. Weideman	A Contour Integral Method for the Black-Scholes and Heston Equations.	SIAM J. Sci. Comput.	2011	DBLP DOI BibTeX RDF
29	Peter Grandits, Stefan Thonhauser	Risk averse asymptotics in a Black-Scholes market on a finite time horizon.	Math. Methods Oper. Res.	2011	DBLP DOI BibTeX RDF
29	Antonio Attalienti, Rosa Maria Mininni, Ioan Rasa	Gamma-type operators and the Black-Scholes semigroup.	J. Approx. Theory	2011	DBLP DOI BibTeX RDF
29	Rüdiger Frey, Ulrike Polte	Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions.	SIAM J. Control. Optim.	2011	DBLP DOI BibTeX RDF
29	Zhongdi Cen, Anbo Le	A robust and accurate finite difference method for a generalized Black-Scholes equation.	J. Comput. Appl. Math.	2011	DBLP DOI BibTeX RDF
29	Jiri Konecný, Tomás Vícha, Mirko Dohnal	Qualitative phase portrait of modified Black-Scholes model.	Expert Syst. Appl.	2010	DBLP DOI BibTeX RDF
29	Robert J. Elliott, Tak Kuen Siu	On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy.	Ann. Oper. Res.	2010	DBLP DOI BibTeX RDF
29	Vladimir G. Ivancevic	Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model.	Cogn. Comput.	2010	DBLP DOI BibTeX RDF
29	A. Çagri Tolga, Cengiz Kahraman, Murat Levent Demircan	A Comparative Fuzzy Real Options Valuation Model using Trinomial Lattice and Black-Scholes Approaches: A Call Center Application.	J. Multiple Valued Log. Soft Comput.	2010	DBLP BibTeX RDF
29	Maria Rosaria Simonelli	Black-Scholes Fuzzy Numbers as Indexes of Performance.	Appl. Comput. Intell. Soft Comput.	2010	DBLP DOI BibTeX RDF
29	Guy Jumarie	Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio.	Comput. Math. Appl.	2010	DBLP DOI BibTeX RDF
29	Mou-Hsiung Chang, Tao Pang, Moustapha Pemy	An approximation scheme for Black-Scholes equations with delays.	J. Syst. Sci. Complex.	2010	DBLP DOI BibTeX RDF
29	Jaemin Ahn, Sungkwon Kang, YongHoon Kwon	A Laplace transform finite difference method for the Black-Scholes equation.	Math. Comput. Model.	2010	DBLP DOI BibTeX RDF
29	Hans-Joachim Bungartz, Alexander Heinecke, Dirk Pflüger, Stefanie Schraufstetter	Parallelizing a Black-Scholes solver based on finite elements and sparse grids.	IPDPS Workshops	2010	DBLP DOI BibTeX RDF
29	Tatiana P. Chernogorova, Radoslav L. Valkov	Finite-Volume Difference Scheme for the Black-Scholes Equation in Stochastic Volatility Models.	NMA	2010	DBLP DOI BibTeX RDF
29	Gunilla Linde, Jonas Persson, Lina von Sydow	A highly accurate adaptive finite difference solver for the Black-Scholes equation.	Int. J. Comput. Math.	2009	DBLP DOI BibTeX RDF
29	Wenyuan Liao, Abdul Q. M. Khaliq	High-order compact scheme for solving nonlinear Black-Scholes equation with transaction cost.	Int. J. Comput. Math.	2009	DBLP DOI BibTeX RDF
29	Martin Bohner, Yao Zheng	On analytical solutions of the Black-Scholes equation.	Appl. Math. Lett.	2009	DBLP DOI BibTeX RDF
29	Wuming Zhu, David A. Kopriva	A Spectral Element Approximation to Price European Options. II. The Black-Scholes Model with Two Underlying Assets.	J. Sci. Comput.	2009	DBLP DOI BibTeX RDF
29	Yan Qiu, Jens Lorenz	A non-linear Black-Scholes equation.	Int. J. Bus. Perform. Supply Chain Model.	2009	DBLP DOI BibTeX RDF
29	Wenyuan Liao, Jianping Zhu	An accurate and efficient numerical method for solving Black-Scholes equation in option pricing.	Int. J. Math. Oper. Res.	2009	DBLP DOI BibTeX RDF
29	Kumarasamy Sakthivel, Krishnan Balachandran, Rangarajan Sowrirajan, Jeong-Hoon Kim	On exact null controllability of Black-Scholes equation.	Kybernetika	2008	DBLP BibTeX RDF
29	Julia Ankudinova, Matthias Ehrhardt 0001	On the numerical solution of nonlinear Black-Scholes equations.	Comput. Math. Appl.	2008	DBLP DOI BibTeX RDF
29	Rafael Company, Enrique A. Navarro, José Ramón Pintos, Enrique Ponsoda	Numerical solution of linear and nonlinear Black-Scholes option pricing equations.	Comput. Math. Appl.	2008	DBLP DOI BibTeX RDF
29	Minqiang Li	Approximate inversion of the Black-Scholes formula using rational functions.	Eur. J. Oper. Res.	2008	DBLP DOI BibTeX RDF
29	Hitoshi Imai, Naoyuki Ishimura, Hideo Sakaguchi	Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs.	Kybernetika	2007	DBLP BibTeX RDF
29	Sukanto Bhattacharya, Kuldeep Kumar	Computational Exploration of the Biological Basis of Black-Scholes Expected Utility Function.	Adv. Decis. Sci.	2007	DBLP DOI BibTeX RDF
29	Sukanto Bhattacharya, Kuldeep Kumar	Erratum: Computational Exploration of the Biological Basis of Black-Scholes Expected Utility Function.	Adv. Decis. Sci.	2007	DBLP DOI BibTeX RDF
29	Hsien-Chung Wu	Using fuzzy sets theory and Black-Scholes formula to generate pricing boundaries of European options.	Appl. Math. Comput.	2007	DBLP DOI BibTeX RDF