Bibliografias temáticas / Black-Scholes PDE

Índice

Artigos de revistas
Teses / dissertações
Livros
Capítulos de livros
Trabalhos de conferências

Literatura científica selecionada sobre o tema "Black-Scholes PDE"

Autor: Grafiati

Publicado: 4 de junho de 2021

Última modificação: 26 de abril de 2022

Crie uma referência precisa em APA, MLA, Chicago, Harvard, e outros estilos

Selecione um tipo de fonte:

Consulte a lista de atuais artigos, livros, teses, anais de congressos e outras fontes científicas relevantes para o tema "Black-Scholes PDE".

Ao lado de cada fonte na lista de referências, há um botão "Adicionar à bibliografia". Clique e geraremos automaticamente a citação bibliográfica do trabalho escolhido no estilo de citação de que você precisa: APA, MLA, Harvard, Chicago, Vancouver, etc.

Você também pode baixar o texto completo da publicação científica em formato .pdf e ler o resumo do trabalho online se estiver presente nos metadados.

Artigos de revistas sobre o assunto "Black-Scholes PDE"

Özer, H. Ünsal, e Ahmet Duran. "The source of error behavior for the solution of Black–Scholes PDE by finite difference and finite element methods". International Journal of Financial Engineering 05, n.º 03 (setembro de 2018): 1850028. http://dx.doi.org/10.1142/s2424786318500287.

Texto completo da fonte

Resumo:

Black–Scholes partial differential equation (PDE) is one of the most famous equations in mathematical finance and financial industry. In this study, numerical solution analysis is done for Black–Scholes PDE using finite element method with linear approach and finite difference methods. The numerical solutions are compared with Black–Scholes formula for option pricing. The numerical errors are determined for the finite element and finite difference applications to Black–Scholes PDE. We examine the error behavior and find the source of the corresponding errors under various market situations.

Estilos ABNT, Harvard, Vancouver, APA, etc.

RIGATOS, GERASIMOS G. "BOUNDARY CONTROL OF THE BLACK–SCHOLES PDE FOR OPTION DYNAMICS STABILIZATION". Annals of Financial Economics 11, n.º 02 (junho de 2016): 1650009. http://dx.doi.org/10.1142/s2010495216500093.

Texto completo da fonte

Resumo:

The objective of the paper is to develop a boundary control method for the Black–Scholes PDE which describes option dynamics. It is shown that the procedure for numerical solution of Black–Scholes PDE results into a set of nonlinear ordinary differential equations (ODEs) and an associated state equations model. For the local subsystems, into which a Black–Scholes PDE is decomposed, it becomes possible to apply boundary-based feedback control. The controller design proceeds by showing that the state-space model of the Black–Scholes PDE stands for a differentially flat system. Next, for each subsystem which is related to a nonlinear ODE, a virtual control input is computed, that can invert the subsystem’s dynamics and can eliminate the subsystem’s tracking error. From the last row of the state-space description, the control input (boundary condition) that is actually applied to the Black–Scholes PDE system is found. This control input contains recursively all virtual control inputs which were computed for the individual ODE subsystems associated with the previous rows of the state-space equation. Thus, by tracing the rows of the state-space model backwards, at each iteration of the control algorithm, one can finally obtain the control input that should be applied to the Black–Scholes PDE system so as to assure that all its state variables will converge to the desirable setpoints.

Estilos ABNT, Harvard, Vancouver, APA, etc.

Rigatos, G., e P. Siano. "Feedback control of the multi-asset Black–Scholes PDE using differential flatness theory". International Journal of Financial Engineering 03, n.º 02 (junho de 2016): 1650008. http://dx.doi.org/10.1142/s2424786316500080.

Texto completo da fonte

Resumo:

A method for feedback control of the multi-asset Black–Scholes PDE is developed. By applying semi-discretization and a finite differences scheme the multi-asset Black–Scholes PDE is transformed into a state-space model consisting of ordinary nonlinear differential equations. For this set of differential equations it is shown that differential flatness properties hold. This enables to solve the associated control problem and to succeed stabilization of the options’ dynamics. It is shown that the previous procedure results into a set of nonlinear ordinary differential equations (ODEs) and to an associated state equations model. For the local subsystems, into which a Black–Scholes PDE is decomposed, it becomes possible to apply boundary-based feedback control. The controller design proceeds by showing that the state-space model of the Black–Scholes PDE stands for a differentially flat system. Next, for each subsystem which is related to a nonlinear ODE, a virtual control input is computed, that can invert the subsystem’s dynamics and can eliminate the subsystem’s tracking error. From the last row of the state-space description, the control input (boundary condition) that is actually applied to the multi-asset Black–Scholes PDE system is found. This control input contains recursively all virtual control inputs which were computed for the individual ODE subsystems associated with the previous rows of the state-space equation. Thus, by tracing the rows of the state-space model backwards, at each iteration of the control algorithm, one can finally obtain the control input that should be applied to the Black–Scholes PDE system so as to assure that all its state variables will converge to the desirable setpoints.

Estilos ABNT, Harvard, Vancouver, APA, etc.

Hu, Jinhao, e Siqing Gan. "High order method for Black–Scholes PDE". Computers & Mathematics with Applications 75, n.º 7 (abril de 2018): 2259–70. http://dx.doi.org/10.1016/j.camwa.2017.12.002.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

El-Khatib, Youssef. "A Homotopy Analysis Method for the Option Pricing PDE in Post-Crash Markets". Mathematical Economics Letters 2, n.º 3-4 (30 de novembro de 2014): 45–50. http://dx.doi.org/10.1515/mel-2013-0014.

Texto completo da fonte

Resumo:

AbstractWe investigate a solution for the option pricing partial differential equation (PDE) in a market suffering from a financial crisis. The post-crash model assumes that the volatility is stochastic. It is an extension of the famous Black and Scholes model. Therefore, the option pricing PDE for the crisis model is a generalization of the Black and Scholes PDE. However, to the best knowledge, it does not have a closed form solution for the general case. In this paper, we provide a solution for the pricing PDE of a European option during financial crisis using the homotopy analysis method.

Estilos ABNT, Harvard, Vancouver, APA, etc.

Ogunyebi, SN, SE Fadugba, TO Ogunlade, KJ Adebayo, BT Babalola, O. Faweya e HO Emeka. "Direct Solution of the Black-Scholes PDE Models with Non-Integer Order". Journal of Physics: Conference Series 2199, n.º 1 (1 de fevereiro de 2022): 012003. http://dx.doi.org/10.1088/1742-6596/2199/1/012003.

Texto completo da fonte

Resumo:

Abstract This paper presents a direct solution of Black-Scholes PDE models with non-integer order via the non-integer iterative method. The Black-Scholes PDE models of non-integer order became popular and accepted globally by option traders for the valuation of financial derivatives over the period of time and the study of its numerical approaches has a wide range of applications in the real world.. The performance of the method has been confirmed and measured.

Estilos ABNT, Harvard, Vancouver, APA, etc.

Wilmott, Paul. "The two best ways to derive the Black–Scholes PDE". China Finance Review International 10, n.º 2 (17 de dezembro de 2019): 168–74. http://dx.doi.org/10.1108/cfri-12-2018-0153.

Texto completo da fonte

Resumo:

Purpose The purpose of this paper is to explain the Black–Scholes model with minimal technical requirements and to illustrate its impact from a business perspective. Design/methodology/approach The paper employs simple accounting concepts and an argument part based on business need. Findings The Black–Scholes partial differential equation can be derived in many ways, some easy to understand, some hard, some useful and others not. The two methods in this paper are extremely insightful. Originality/value The paper takes a big-picture view of derivatives valuation. As such, it is a simple accompaniment to more complex methods and aims to keep modelling grounded in reality.

Estilos ABNT, Harvard, Vancouver, APA, etc.

Han, Yuecai, e Chunyang Liu. "Asian Option Pricing under an Uncertain Volatility Model". Mathematical Problems in Engineering 2020 (21 de abril de 2020): 1–10. http://dx.doi.org/10.1155/2020/4758052.

Texto completo da fonte

Resumo:

In this paper, we study the asymptotic behavior of Asian option prices in the worst-case scenario under an uncertain volatility model. We derive a procedure to approximate Asian option prices with a small volatility interval. By imposing additional conditions on the boundary condition and splitting the obtained Black–Scholes–Barenblatt equation into two Black–Scholes-like equations, we obtain an approximation method to solve a fully nonlinear PDE.

Estilos ABNT, Harvard, Vancouver, APA, etc.

Hossan, Md Shorif, Md Shafiqul Islam e Md Kamrujjaman. "Efficient Numerical Schemes for Computations of European Options with Transaction Costs". European Journal of Mathematical Analysis 2 (17 de fevereiro de 2022): 9. http://dx.doi.org/10.28924/ada/ma.2.9.

Texto completo da fonte

Resumo:

This paper aims to find numerical solutions of the non-linear Black-Scholes partial differential equation (PDE), which often appears in financial markets, for European option pricing in the appearance of the transaction costs. Here we exploit the transformations for the computational purpose of a non-linear Black-Scholes PDE to modify as a non-linear parabolic type PDE with reliable initial and boundary conditions for call and put options. Several schemes are derived rigorously using the finite volume method (FVM) and finite difference method (FDM), which is the novelty of this paper. Stability and consistency analysis assure the convergence of these schemes. We apply these schemes to various volatility models, such as the Leland, Boyle and Vorst, Barles and Soner, and Risk-adjusted pricing methodology (RAPM). All the schemes are tested numerically. The convergence of the obtained results is observed, and we find that they are also reliable. Finally, we display all the approximate results together with the exact values through graphical and tabular representations.

Estilos ABNT, Harvard, Vancouver, APA, etc.

Prabakaran, Sellamuthu. "CONSTRUCTION OF THE BLACK-SCHOLES PDE WITH JUMP-DIFFUSION MODEL". Far East Journal of Mathematical Sciences (FJMS) 110, n.º 1 (30 de janeiro de 2019): 131–63. http://dx.doi.org/10.17654/ms110010131.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Mais fontes

Teses / dissertações sobre o assunto "Black-Scholes PDE"

Yang, Yuankai. "Pricing American and European options under the binomial tree model and its Black-Scholes limit model". Thesis, Linnéuniversitetet, Institutionen för matematik (MA), 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-68264.

Texto completo da fonte

Resumo:

We consider the N step binomial tree model of stocks. Call options and put options of European and American type are computed explicitly. With appropriate scaling in time and jumps, convergence of the stock prices and the option prices are obtained as N-> infinite. The obtained convergence is the Black-Scholes model and, for the particular case of European call option, the Black-Scholes formula is obtained. Furthermore, the Black-Scholes partial differential equation is obtained as a limit from the N step binomial tree model. Pricing of American put option under the Black-Scholes model is obtained as a limit from the N step binomial tree model. With this thesis, option pricing under the Black-Scholes model is achieved not by advanced stochastic analysis but by elementary, easily understandable probability computation. Results which in elementary books on finance are mentioned briefly are here derived in more details. Some important Java codes for N step binomial tree option prices are constructed by the author of the thesis.

Estilos ABNT, Harvard, Vancouver, APA, etc.

Pagliarani, Stefano. "Metodi perturbativi per E.D.P e applicazioni in finanza matematica". Master's thesis, Alma Mater Studiorum - Università di Bologna, 2010. http://amslaurea.unibo.it/1392/.

Texto completo da fonte

Resumo:

In questa tesi si discute di alcuni modelli di pricing per opzioni di tipo europeo e di opportuni metodi perturbativi che permettono di trovare approssimazioni soddisfacenti dei prezzi e delle volatilità implicite relative a questi modelli.

Estilos ABNT, Harvard, Vancouver, APA, etc.

Constantin, Robert, e Denis Gerzic. "An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans". Thesis, Linköpings universitet, Produktionsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-153259.

Texto completo da fonte

Resumo:

In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. We conclude, with certainty, that there are many alternatives for funding and that they each need to be analysed and compared on many levels to be able to make a correct decision as to which ones to choose. An important part of this is to consider the implications of the newest regulations and risk exposure, as it might greatly influence the final price for contracts. Between the cases that we considered, the SEK bond was the one with the lowest resulting spread, and the one which is the simplest considering the collateral involved. While other alternatives might be better depending on how profitable it is for the municipality to receive collateral, the SEK bond is the most transparent one and with least risk involved.

Estilos ABNT, Harvard, Vancouver, APA, etc.

Fischbach, Pascal. "Derivate für FX-Absicherungen". St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05608120001/$FILE/05608120001.pdf.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Wilkens, Sascha. "Optionsbewertung und Risikomanagement unter gemischten Verteilungen : theoretische Analyse und empirische Evaluation am europäischen Terminmarkt /". Wiesbaden : Dt. Univ.-Verl, 2003. http://www.gbv.de/dms/zbw/372731589.pdf.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Zufferey, Yannick. "Contrôle combiné stochastique et stratégies d'entreprise /". [S.l.] : [s.n.], 2002. http://www.gbv.de/dms/zbw/361237359.pdf.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Furrer, Marc. "Numerical Accuracy of Least Squares Monte Carlo". St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01650217002/$FILE/01650217002.pdf.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Duan, Fangjing. "Option pricing models and volatility surfaces". St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03607991001/$FILE/03607991001.pdf.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Jönsson, Ola. "Option pricing and Bayesian learning /". Lund: Univ., Dep. of Economics, 2007. http://www.gbv.de/dms/zbw/541563130.pdf.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Gruber, Alfred. "A taxonomy of risk-neutral distribution methods : theory and implementation /". [S.l. : s.n.], 2003. http://www.gbv.de/dms/zbw/362419094.pdf.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Mais fontes

Livros sobre o assunto "Black-Scholes PDE"

Back, Kerry E. Option Pricing. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0016.

Texto completo da fonte

Resumo:

Options, option portfolios, put‐call parity, and option bounds are explained. Changes of numeraire (measure) are discussed, and the Black‐Scholes formula is derived. The fundamental PDE for an option value is explained. The option greeks are defined, and delta hedging is explained. The smooth pasting condition for valuing an American option is explained.

Estilos ABNT, Harvard, Vancouver, APA, etc.

Capítulos de livros sobre o assunto "Black-Scholes PDE"

Pascucci, Andrea. "Black-Scholes model". In PDE and Martingale Methods in Option Pricing, 219–56. Milano: Springer Milan, 2011. http://dx.doi.org/10.1007/978-88-470-1781-8_7.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Patel, Kuldip Singh, e Mani Mehra. "High-Order Compact Finite Difference Method for Black–Scholes PDE". In Mathematical Analysis and its Applications, 393–403. New Delhi: Springer India, 2015. http://dx.doi.org/10.1007/978-81-322-2485-3_32.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Rigatos, Gerasimos G. "Stabilization of the Multi-asset Black–Scholes PDE Using Differential Flatness Theory". In State-Space Approaches for Modelling and Control in Financial Engineering, 253–63. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-52866-3_13.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Koh, W. S., R. R. Ahmad, S. H. Jaaman e J. Sulaiman. "Pricing Asian Option by Solving Black–Scholes PDE Using Gauss–Seidel Method". In Proceedings of the Third International Conference on Computing, Mathematics and Statistics (iCMS2017), 147–52. Singapore: Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-13-7279-7_18.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Rigatos, Gerasimos G. "Stabilization of Financial Systems Dynamics Through Feedback Control of the Black-Scholes PDE". In State-Space Approaches for Modelling and Control in Financial Engineering, 235–51. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-52866-3_12.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Rigatos, Gerasimos G. "Kalman Filtering Approach for Detection of Option Mispricing in the Black–Scholes PDE". In State-Space Approaches for Modelling and Control in Financial Engineering, 125–39. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-52866-3_6.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

"The Black–Scholes PDE". In Stochastic Finance, 105–26. Chapman and Hall/CRC, 2013. http://dx.doi.org/10.1201/b16359-9.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

"Black–Scholes PDE and formulas". In An Introduction to Financial Option Valuation, 73–86. Cambridge University Press, 2004. http://dx.doi.org/10.1017/cbo9780511800948.009.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

"◾ Solving the Black Scholes PDE". In Quantitative Finance, 288–307. Chapman and Hall/CRC, 2014. http://dx.doi.org/10.1201/b16039-26.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

"Finite Differences and the Black-Scholes PDE". In A Workout in Computational Finance, 17–38. Chichester, UK: John Wiley & Sons, Ltd, 2013. http://dx.doi.org/10.1002/9781119973515.ch3.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Trabalhos de conferências sobre o assunto "Black-Scholes PDE"

Laszlo, Endre, Zoltan Nagy, Michael B. Giles, Istvan Reguly, Jeremy Appleyard e Peter Szolgay. "Analysis of parallel processor architectures for the solution of the Black-Scholes PDE". In 2015 IEEE International Symposium on Circuits and Systems (ISCAS). IEEE, 2015. http://dx.doi.org/10.1109/iscas.2015.7169062.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Benk, Janos, e Dirk Pfluger. "Hybrid parallel solutions of the Black-Scholes PDE with the truncated combination technique". In 2012 International Conference on High Performance Computing & Simulation (HPCS). IEEE, 2012. http://dx.doi.org/10.1109/hpcsim.2012.6266992.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Rigatos, Gerasimos. "A Kalman filtering approach for detection of option mispricing in the Black-Scholes PDE model". In 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2014. http://dx.doi.org/10.1109/cifer.2014.6924098.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Volders, K. "Stability of central finite difference schemes on non-uniform grids for the Black–Scholes PDE with Neumann boundary condition". In NUMERICAL ANALYSIS AND APPLIED MATHEMATICS ICNAAM 2012: International Conference of Numerical Analysis and Applied Mathematics. AIP, 2012. http://dx.doi.org/10.1063/1.4756624.

Texto completo da fonte

Estilos ABNT, Harvard, Vancouver, APA, etc.

Oferecemos descontos em todos os planos premium para autores cujas obras estão incluídas em seleções literárias temáticas. Contate-nos para obter um código promocional único!