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A Review of the Recent Advances Made in the Black-Scholes Models and Respective Solutions Methods

Yasir Hamad Al Saedi, Gurudeo Anand Tularam
<span title="2018-01-01">2018</span> <i title="Science Publications"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/2lsiqmywajba3cmrphqr452nfu" style="color: black;">Journal of Mathematics and Statistics</a> </i> &nbsp;
the two-step backward differentiation formula in the temporal discretization and a High-Order Difference approximation with Identity Expansion (HODIE) scheme and fractional Black-Scholes model (TFBSM)  ...  The Black-Scholes model has been a major advance in finance over a period of time; this paper examines this model in some detail, in terms of the latest developments in both analytical and numerical solutions  ...  Author's Contributions All the authors contributed equally to writing the manuscript and they had an equal say in reviewing and approving the final version.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3844/jmssp.2018.29.39">doi:10.3844/jmssp.2018.29.39</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/jbp6djfzkfg7pfgcep6kjgbdva">fatcat:jbp6djfzkfg7pfgcep6kjgbdva</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20180719185356/http://thescipub.com/pdf/10.3844/jmssp.2018.29.39" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/6e/88/6e88e9b6d1eb8a54188f97a406ac35c3d718c310.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3844/jmssp.2018.29.39"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="unlock alternate icon" style="background-color: #fb971f;"></i> Publisher / doi.org </button> </a>

Analysis of the nonlinear option pricing model under variable transaction costs [article]

Daniel Sevcovic, Magdalena Zitnanska
<span title="2016-03-12">2016</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs.  ...  We show that the generalizations of the classical Black--Scholes model can be analyzed by means of transformation of the fully nonlinear parabolic equation into a quasilinear parabolic equation for the  ...  Introduction The classical linear Black-Scholes option pricing model with a constant historical volatility was proposed in [7] .  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/1603.03874v1">arXiv:1603.03874v1</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/5wfd5ie2bbfojidljfdqblzcy4">fatcat:5wfd5ie2bbfojidljfdqblzcy4</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20200830225418/https://arxiv.org/pdf/1603.03874v1.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/2f/d5/2fd509a6111f9095c292254c453e135223c33b83.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/1603.03874v1" title="arxiv.org access"> <button class="ui compact blue labeled icon button serp-button"> <i class="file alternate outline icon"></i> arxiv.org </button> </a>

Accurate radial basis functions technique for competitive and efficient solutions of non-linear Black-Scholes equations

Vinícius Magalhães Pinto Marques, Gisele Tessari Santos, Mauri Fortes
<span title="2020-11-24">2020</span> <i title="Fundacao Pedro Leopoldo - Revista Gestao and Tecnologia"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/meuyxpu5ind3lb2pq6fb4vj43u" style="color: black;">Revista Gestão &amp; Tecnologia</a> </i> &nbsp;
This work uses the MQ RBF method applied to the solution of two complex models of nonlinear BS equation for prices of European call options with modified volatility.  ...  Linear BS models are also solved to visualize the effects of modified volatility. Additionally, an adaptive scheme is implemented in time based on the Runge-Kutta-Fehlberg (RKF) method.  ...  THEORETICAL FRAMEWORK Nonlinear Black-Scholes Equation The widely accepted mathematical model for evaluating the temporal value of a V(S,t) option is the Black-Scholes equation.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.20397/2177-6652/2020.v20i4.2040">doi:10.20397/2177-6652/2020.v20i4.2040</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/ydtumzci2beslcqmq2agvatgje">fatcat:ydtumzci2beslcqmq2agvatgje</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20210128023838/http://revistagt.fpl.edu.br/get/article/download/2040/1168" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/8d/61/8d61d8a5251a4953de977ff4a88a1cf53b76b045.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.20397/2177-6652/2020.v20i4.2040"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="unlock alternate icon" style="background-color: #fb971f;"></i> Publisher / doi.org </button> </a>

Volatility Timing: Pricing Barrier Options on DAX XETRA Index

Carlos Esparcia, Elena Ibañez, Francisco Jareño
<span title="2020-05-04">2020</span> <i title="MDPI AG"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/ye33srllvnanjouxn4tmrfgjsq" style="color: black;">Mathematics</a> </i> &nbsp;
The construction of a Risk-Neutral Probability Term Structure (RNPTS) is one of the main contributions of this research, which changes in parallel with regard to the Volatility Term Structure (VTS) in  ...  The study implements the GARCH (1,1) model with regard to the continuously compound returns of the DAX XETRA Index traded at daily frequency.  ...  Therefore, the DM and HLN statistics are provided with regard to this model. The Historical Binomial Tree is the benchmark in panel D while GARCH (1,1) Binomial Tree is the reference in panel E.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3390/math8050722">doi:10.3390/math8050722</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/76rzn2mzozffrncul7ab6z3cce">fatcat:76rzn2mzozffrncul7ab6z3cce</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20201107085557/https://res.mdpi.com/d_attachment/mathematics/mathematics-08-00722/article_deploy/mathematics-08-00722.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/ee/5b/ee5bc2679653140d68011e396e3ca6200c04f569.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.3390/math8050722"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="unlock alternate icon" style="background-color: #fb971f;"></i> mdpi.com </button> </a>

ADI finite difference schemes for option pricing in the Heston model with correlation [article]

K.J. in 't Hout, S. Foulon
<span title="2011-04-08">2011</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
.), we arrive at three ADI schemes that all prove to be very effective in the numerical solution of the Heston PDE with a mixed derivative term.  ...  ADI schemes were not originally developed to deal with mixed spatial-derivative terms. Accordingly, we first discuss the adaptation of the above four ADI schemes to the Heston equation.  ...  Acknowledgments The first author wishes to thank Willem Hundsdorfer for suggesting to consider the RKC scheme and for providing a Matlab implementation of this scheme.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/0811.3427v2">arXiv:0811.3427v2</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/5xsazjbsh5f7pekjao6ummtoaa">fatcat:5xsazjbsh5f7pekjao6ummtoaa</a> </span>
<a target="_blank" rel="noopener" href="https://archive.org/download/arxiv-0811.3427/0811.3427.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> File Archive [PDF] </button> </a> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/0811.3427v2" title="arxiv.org access"> <button class="ui compact blue labeled icon button serp-button"> <i class="file alternate outline icon"></i> arxiv.org </button> </a>

Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

V.N. Egorova, S.-H. Tan, C.-H. Lai, R. Company, L. Jódar
<span title="2015-12-08">2015</span> <i title="Informa UK Limited"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/y4k3i2fvabgarkvywismzvy23a" style="color: black;">International Journal of Computer Mathematics</a> </i> &nbsp;
Broyden's and Schubert's methods are applied as a modification to Newton's method in the case of nonlinearity in the equation.  ...  The pricing of American call option with transaction cost is a free boundary problem. Using a new transformation method the boundary is made to follow a certain known trajectory in time.  ...  The well-known Black-Scholes (BS) model [5] provides an easy computable pricing formula of European option in an idealistic market.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1080/00207160.2015.1108409">doi:10.1080/00207160.2015.1108409</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/uy2ntnedrzeafcntgcmaorndoe">fatcat:uy2ntnedrzeafcntgcmaorndoe</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170829164106/http://gala.gre.ac.uk/14893/1/14893_Lai_Moving_boundary_transformation_%28aam%29_2015.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/48/3d/483dd831643deafc816e8e410cae1b98cc402f13.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1080/00207160.2015.1108409"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> tandfonline.com </button> </a>

Valuing Convertible Bonds with Stock Price, Volatility, Interest Rate, and Default Risk

Pavlo Kovalov, Vadim Linetsky
<span title="">2008</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/tol7woxlqjeg5bmzadeg6qrg3e" style="color: black;">Social Science Research Network</a> </i> &nbsp;
Modeling of convertible bonds in this modern intensity based framework was initiated by Davis and Lischka (2002) , who proposed a convertible bond model that incorporated a Black-Scholes stock price (equity  ...  Consistent modeling of these risk factors and their dependences is especially important to firms engaged in convertible bond arbitrage, a significant segment of the global hedge fund universe.  ...  The graph (c) in the second row plots the maximum norm error as a function of the penalization parameter ε for the penalty terms with p = 1, 2, 3 (the spatial discretization step size and the temporal  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.1113385">doi:10.2139/ssrn.1113385</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/ydj7zyul4vdqvhumirhz3vvaxi">fatcat:ydj7zyul4vdqvhumirhz3vvaxi</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20180723040516/https://www.fdic.gov/bank/analytical/cfr/2008/wp2008/cb12.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/02/92/02924421c04b99adb8334ca5787a63ee45ab0a07.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.1113385"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ssrn.com </button> </a>

Optimal Investment Under Transaction Costs: A Threshold Rebalanced Portfolio Approach

Sait Tunc, Mehmet Ali Donmez, Suleyman Serdar Kozat
<span title="">2013</span> <i title="Institute of Electrical and Electronics Engineers (IEEE)"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/gkn2pu46ozb4tmkxczacnmtvkq" style="color: black;">IEEE Transactions on Signal Processing</a> </i> &nbsp;
Under the assumption that the relative price sequences have log-normal distribution from the Black-Scholes model, we evaluate the expected wealth under proportional transaction costs and find the threshold  ...  In particular, we introduce a portfolio selection algorithm that maximizes the expected cumulative wealth in i.i.d. two-asset discrete-time markets where the market levies proportional transaction costs  ...  In this paper, we assume that the price relative vectors have a log-normal distribution following the well-known Black-Scholes model [9] .  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/tsp.2013.2258339">doi:10.1109/tsp.2013.2258339</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/qxwn36uojjfvxk4vlazqapq5o4">fatcat:qxwn36uojjfvxk4vlazqapq5o4</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170922135946/http://repository.bilkent.edu.tr/bitstream/handle/11693/12916/10.1109-TSp.2013.2258339.pdf?sequence=1" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/07/3e/073ea5da027b15f4b9e97c25edbb1e76ecbc535e.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1109/tsp.2013.2258339"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ieee.com </button> </a>

Quant GANs: Deep Generation of Financial Time Series [article]

Magnus Wiese, Robert Knobloch, Ralf Korn, Peter Kretschmer
<span title="2019-12-21">2019</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
Modeling financial time series by stochastic processes is a challenging task and a central area of research in financial mathematics.  ...  Quant GANs consist of a generator and discriminator function, which utilize temporal convolutional networks (TCNs) and thereby achieve to capture long-range dependencies such as the presence of volatility  ...  Remark 5.8 (Comparison to the Black-Scholes model).  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/1907.06673v2">arXiv:1907.06673v2</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/7ryksnpqwfamzlzge4j55cus6a">fatcat:7ryksnpqwfamzlzge4j55cus6a</a> </span>
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PAPERS FROM ACTUARIAL JOURNALS WORLDWIDE

<span title="2017-02-07">2017</span> <i title="Cambridge University Press (CUP)"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/rmxp6u2jlbctvfquh24vqulrzi" style="color: black;">Annals of Actuarial Science</a> </i> &nbsp;
Single copies of the papers listed here can be obtained, subject to copyright law, by contacting the libraries. There may be a charge for this service.  ...  Members of the Institute and Faculty of Actuaries can also access these journals directly by registering for the eLibrary. A password is available on request.  ...  Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models. 38-57.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1017/s1748499517000033">doi:10.1017/s1748499517000033</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/5kodefwt6nf2hlapj7z6mqtefa">fatcat:5kodefwt6nf2hlapj7z6mqtefa</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20180725083141/https://www.cambridge.org/core/services/aop-cambridge-core/content/view/ED6EC5416E0A8F38D5A0BEE0791A195E/S1748499517000033a.pdf/div-class-title-papers-from-actuarial-journals-worldwide-div.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/2c/46/2c4612f4546af96ced476b81c28a986c5fd948bd.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1017/s1748499517000033"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> cambridge.org </button> </a>

Volatility as an Asset Class: European Evidence

Martin Wallmeier, Reinhold Hafner
<span title="">2006</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/tol7woxlqjeg5bmzadeg6qrg3e" style="color: black;">Social Science Research Network</a> </i> &nbsp;
Volatility movements are known to be negatively correlated with stock index returns. Hence, investing in volatility appears to be attractive for investors seeking risk diversification.  ...  Due to the option-like profile of returns it is crucial to account for the non-normality of returns in measuring the performance of variance swap investments.  ...  Its magnitude is not compatible with standard equilibrium pricing models. Thus, selling realized volatility turns out to be a more profitable strategy.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.901750">doi:10.2139/ssrn.901750</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/3yvyhbocfjbqfmb65n4j3kibgq">fatcat:3yvyhbocfjbqfmb65n4j3kibgq</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20060927113518/http://www.efmaefm.org/efma2006/papers/265931_full.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/e3/96/e396495462b5594222d8482b79536572f79befe1.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.901750"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ssrn.com </button> </a>

Volatility as an Asset Class: European Evidence

Reinhold Hafner, Martin Wallmeier
<span title="">2007</span> <i title="Informa UK Limited"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/vuh4j4knprh45ivdvi2babew3q" style="color: black;">European Journal of Finance</a> </i> &nbsp;
Volatility movements are known to be negatively correlated with stock index returns. Hence, investing in volatility appears to be attractive for investors seeking risk diversification.  ...  Due to the option-like profile of returns it is crucial to account for the non-normality of returns in measuring the performance of variance swap investments.  ...  Its magnitude is not compatible with standard equilibrium pricing models. Thus, selling realized volatility turns out to be a more profitable strategy.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1080/13518470701380142">doi:10.1080/13518470701380142</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/hjidahxvofh6tocysbdsf5orma">fatcat:hjidahxvofh6tocysbdsf5orma</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20060927113518/http://www.efmaefm.org/efma2006/papers/265931_full.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/e3/96/e396495462b5594222d8482b79536572f79befe1.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1080/13518470701380142"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> tandfonline.com </button> </a>

Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory [article]

Ravi Kashyap
<span title="2021-09-28">2021</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
We develop models to price long term loans in the securities lending business.  ...  We develop a heuristic that can mitigate any loss of information, that might set in when parameters are estimated first and then the valuation is performed, by directly calculating the valuation using  ...  The techniques introduced in the seminal paper by (Black & Scholes 1973) can be applied for the valuation of barrier options.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/1609.01274v7">arXiv:1609.01274v7</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/b32f6ne2arcfbk32lrqftxf6qm">fatcat:b32f6ne2arcfbk32lrqftxf6qm</a> </span>
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PAPERS FROM ACTUARIAL JOURNALS WORLDWIDE

<span title="2012-12-19">2012</span> <i title="Cambridge University Press (CUP)"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/rmxp6u2jlbctvfquh24vqulrzi" style="color: black;">Annals of Actuarial Science</a> </i> &nbsp;
Single copies of all the papers listed here can be obtained, subject to charge and copyright regulations, from the actuarial profession's libraries. Issues may be borrowed by members.  ...  Most insurance companies are now focusing on dynamically hedging their investment guarantees, and so we also investigate the robustness of the Black-Scholes delta hedging strategy.  ...  We investigate a Black-Scholes financial model with stochastic coefficients and a payment process with death, survival and annuity claims driven by a point process with a stochastic intensity.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1017/s1748499512000309">doi:10.1017/s1748499512000309</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/npuvnlcspjhlngqxuwmuejsegy">fatcat:npuvnlcspjhlngqxuwmuejsegy</a> </span>
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Numerical Stabilization of the Melt Front for Laser Beam Cutting [chapter]

Torsten Adolph, Willi Schönauer, Markus Niessen, Wolfgang Schulz
<span title="">2010</span> <i title="Springer Berlin Heidelberg"> Numerical Mathematics and Advanced Applications 2009 </i> &nbsp;
Numerical experiments will be done for simple linear problems, the Burger's equation, and for the Euler equations with high Mach numbers. 24 This contribution deals with the modeling of soft biological  ...  The hybrid scheme is constructed in such a way that we can prove that it is stable. We can also show that it is high order accurate in smooth domains and oscillatory free close to the shock.  ...  The application of the process operator corresponds for example to a time-step of the Black-Scholes PDE, a transaction can be considered as a shift of the grid axes.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/978-3-642-11795-4_6">doi:10.1007/978-3-642-11795-4_6</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/nx4nvuxaxfbcdjknopny53ck5e">fatcat:nx4nvuxaxfbcdjknopny53ck5e</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20180721182541/http://www.it.uu.se/research/tdb/enumath2009/final/enumath_abstracts.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/4c/34/4c343b1ce275f64d03689c4505c2c1011604403d.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/978-3-642-11795-4_6"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> springer.com </button> </a>
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