On approximate-analytical solution of generalized Black-Scholes equation
zbMATH Open1363.91100MaRDI QIDQ2822979FDOQ2822979
Authors: Hossein Aminikhah, Farshid Mehrdoust 
Publication date: 5 October 2016
Published in: Scientific Bulletin. Series A. Applied Mathematics and Physics. Politehnica University of Bucharest (Search for Journal in Brave)
Recommendations
- On analytical solutions of the Black-Scholes equation
- Analytical solutions for the Black-Scholes equation
- An accurate solution for the generalized Black-Scholes equations governing option pricing
- Analytical solution and convergence analysis of Black-Sholes equation
- Numerical solution of generalized Black-Scholes model
- On the \(\epsilon\)-approximation of the solution of the Black-Scholes equation
- scientific article; zbMATH DE number 5802172
- General solution of the Black-Scholes boundary-value problem
- Analytic solution of a nonlinear Black-Scholes equation
- On analytical solution of the Black-Scholes equation by the first integral method
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Second-order parabolic equations (35K10) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
Cited In (25)
- Haar wavelet-based valuation method for pricing European options
- Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
- An accurate solution for the generalized Black-Scholes equations governing option pricing
- Analysis of a kernel-based method for some pricing financial options
- An accurate and efficient numerical method for solving Black-Scholes equation in option pricing
- On properties of solutions to Black-Scholes-Barenblatt equations
- On analytical solution of the Black-Scholes equation by the first integral method
- The reduced differential transform method for the Black-Scholes pricing model of European option valuation
- Title not available (Why is that?)
- Numerical solution of the Black-Scholes partial differential equation for the option pricing model using the ADM-Kamal method
- Analytic models for parameter dependency in option price modelling
- Title not available (Why is that?)
- A generalization of option pricing to price-limit markets
- Generalized Jacobi reproducing kernel method in Hilbert spaces for solving the Black-Scholes option pricing problem arising in financial modelling
- On the approximation of the Black and Scholes call function
- Solving the Ivancevic pricing model using the He's frecuency amplitude formulation
- On Black-Scholes option pricing model with stochastic volatility: an information theoretic approach
- Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations
- A novel analytical technique for the solution of time-fractional Ivancevic option pricing model
- Numerical solution of generalized Black-Scholes model
- On analytical solutions of the Black-Scholes equation
- On comparative analysis for the Black-Scholes model in the generalized fractional derivatives sense via Jafari transform
- A homotopy analysis method for the option pricing PDE in post-crash markets
- On the Solution of the Black-Sholes Equation with Jump Process
- A comparative study of Black-Scholes equation
This page was built for publication: On approximate-analytical solution of generalized Black-Scholes equation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2822979)
