Search results for "Black-Scholes"

Hits ?▲	Authors	Title	Venue	Year	Link	Author keywords
128	Mary Malliaris, Linda Salchenberger	A neural network model for estimating option prices.	Appl. Intell.	1993	DBLP DOI BibTeX RDF	Black-Scholes, neural networks, option pricing, Applied artificial intelligence
111	Dave A. Voss, Abdul-Qayyum M. Khaliq, S. H. K. Kazmi, H. He	A Fourth Order -stable Method for the Black-Scholes Model with Barrier Options.	ICCSA (3)	2003	DBLP DOI BibTeX RDF	Black-Scholes PDE, Barrier options, L-stability, parallelism
105	C.-S. Huang, C.-H. Hung, Song Wang 0004	A Fitted Finite Volume Method for the Valuation of Options on Assets with Stochastic Volatilities.	Computing	2006	DBLP DOI BibTeX RDF	Black-Scholes equation, stochastic volatility, option pricing, finite volume method
89	Sangwook Lee, Jusang Lee, Daeyoung Shim, Moongu Jeon	Binary Particle Swarm Optimization for Black-Scholes Option Pricing.	KES (1)	2007	DBLP DOI BibTeX RDF	Black-Scholes option pricing, bit change mutation, binary particle swarm optimization
60	Girish K. Jha, Sameer Kumar 0005, Hari Prasain, Parimala Thulasiraman, Ruppa K. Thulasiram	Option pricing using Particle Swarm Optimization.	C3S2E	2009	DBLP DOI BibTeX RDF	Black-Scholes, particle swarm optimization, swarm intelligence, option pricing, computational finance
60	Gianluca Fusai, I. David Abrahams, Carlo Sgarra	An exact analytical solution for discrete barrier options.	Finance Stochastics	2006	DBLP DOI BibTeX RDF	Barrier options, discrete monitoring, Wiener-Hopf equation, Black-Scholes, z-transform
58	N. K. Chidambaran, C. W. Jevons Lee, Joaquin R. Trigueros	Adapting Black-Scholes to a non-Black-Scholes environment via genetic programming.	CIFEr	1998	DBLP DOI BibTeX RDF
45	Hosein Marzi, Mark Turnbull	Use of Neural Networks in Forecasting Financial Market.	GrC	2007	DBLP DOI BibTeX RDF
45	Aleksander Janicki	Computer Construction of Quasi Optimal Portfolio for Stochastic Models with Jumps of Financial Markets.	International Conference on Computational Science (4)	2006	DBLP DOI BibTeX RDF
45	Bo Cao, Yongwei Wu, Guangwen Yang, Jia Liu 0023, Jianjin Jiang	BSM: A scheduling algorithm for dynamic jobs based on economics theory.	GCC	2006	DBLP DOI BibTeX RDF	Black and Scholes Option Pricing Model, Market Simulation, Dynamic Jobs, Scheduling Algorithm
45	Vasilios S. Tzastoudis, Nikos S. Thomaidis, Georgios Dounias	Improving Neural Network Based Option Price Forecasting.	SETN	2006	DBLP DOI BibTeX RDF
45	An-Pin Chen, Mu-Yen Chen	Measurement Practices for Knowledge Management: An Option Perspective.	CAiSE	2005	DBLP DOI BibTeX RDF
37	Koh Hock Lye, Teh Su Yean, Kew Lee Ming	Modified Binomial Tree and Market Efficiency: The Case for KLCI and LTCM.	FSKD (5)	2009	DBLP DOI BibTeX RDF	Black Scholes Model, Finance, Derivative, Option
37	Hsiao-Ya Chiu, Chieh-Chung Sheng, An-Pin Chen	Modeling e-Learning System Performance Evaluation with Agent-Based Approach.	KES (2)	2007	DBLP DOI BibTeX RDF	option-pricing approach, Black-Scholes model, balanced scorecard approach, information agent systems, performance evaluation, E-learning
37	Leon Chen, Olivia Sheng, Dennis Goreham, Jeannie Watanabe	A real option analysis approach to evaluating digital government investment.	DG.O	2005	DBLP BibTeX RDF	black-scholes model, information technology investment evaluation, real option analysis, digital government, estimation error
29	Philippe Bertrand	Black-scholes approximation of warrant prices: slight return in a low interest rate environment.	Ann. Oper. Res.	2024	DBLP DOI BibTeX RDF
29	Lei Shi, Malik Zaka Ullah, Hemant Kumar Nashine	On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE.	Appl. Math. Comput.	2024	DBLP DOI BibTeX RDF
29	Xingyu An, Qingxia (Jenny) Wang, Fawang Liu, Vo V. Anh, Ian W. Turner	Parameter estimation for time-fractional Black-Scholes equation with S &P 500 index option.	Numer. Algorithms	2024	DBLP DOI BibTeX RDF
29	Lukas Gonon	Random Feature Neural Networks Learn Black-Scholes Type PDEs Without Curse of Dimensionality.	J. Mach. Learn. Res.	2023	DBLP BibTeX RDF
29	Razieh Delpasand, Mohammad Mehdi Hosseini 0001	Numerical solution of the three-asset Black-Scholes option pricing model using an efficient hybrid method.	Int. J. Model. Simul. Sci. Comput.	2023	DBLP DOI BibTeX RDF
29	Jun Yu, Michael J. Tomas	An Alternative Method for Analytical Solutions of Two-Dimensional Black-Scholes-Merton Equation.	J. Appl. Math.	2023	DBLP DOI BibTeX RDF
29	Jinfeng Zhou, Xian-Ming Gu, Jinye Shen, Yong-Liang Zhao, Hu Li	A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black-Scholes model.	CoRR	2023	DBLP DOI BibTeX RDF
29	Yongming Li, Ariel Neufeld	Quantum Monte Carlo algorithm for solving Black-Scholes PDEs for high-dimensional option pricing in finance and its proof of overcoming the curse of dimensionality.	CoRR	2023	DBLP DOI BibTeX RDF
29	An Ning	A Mean Convection Finite Difference Method for Solving Black Scholes Model for Option Pricing.	CoRR	2023	DBLP DOI BibTeX RDF
29	Jaspreet Kaur, Srinivasan Natesan	A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance.	Numer. Algorithms	2023	DBLP DOI BibTeX RDF
29	Kamran Kazmi	A second order numerical method for the time-fractional Black-Scholes European option pricing model.	J. Comput. Appl. Math.	2023	DBLP DOI BibTeX RDF
29	Sarit Maitra, Vivek Mishra, Goutam Kr. Kundu, Kapil Arora	Integration of Fractional Order Black-Scholes Merton with Neural Network.	IIT	2023	DBLP DOI BibTeX RDF
29	Maryam Sarboland, Azim Aminataei	On the numerical solution of time fractional Black-Scholes equation.	Int. J. Comput. Math.	2022	DBLP DOI BibTeX RDF
29	Mohammad Mehdizadeh Khalsaraei, Mohammad Mehdi Rashidi, Ali Shokri 0002, Higinio Ramos, Pari Khakzad	A Nonstandard Finite Difference Method for a Generalized Black-Scholes Equation.	Symmetry	2022	DBLP DOI BibTeX RDF
29	Dolemweogo Sibiri Narcisse, Béré Frédéric, Nitiéma Pierre Clovis	Shadow Price Approximation for the Fractional Black Scholes Model.	Int. J. Math. Math. Sci.	2022	DBLP DOI BibTeX RDF
29	Hani Raouf Sheybani, Majid Oloomi Buygi	Equilibrium-Based Black-Scholes Option Pricing in Electricity Markets.	IEEE Syst. J.	2022	DBLP DOI BibTeX RDF
29	Muzhou Hou, Huawei Fu, Zheng Hu, Jia Wang 0009, Yinghao Chen, Yunlei Yang	Numerical solving of generalized Black-Scholes differential equation using deep learning based on blocked residual connection.	Digit. Signal Process.	2022	DBLP DOI BibTeX RDF
29	Yinghao Chen, Lei Wei, Shen Cao, Fan Liu, Yunlei Yang, Yangjin Cheng	Numerical solving for generalized Black-Scholes-Merton model with neural finite element method.	Digit. Signal Process.	2022	DBLP DOI BibTeX RDF
29	Elena Panova, Valentin Volokitin, Anton V. Gorshkov, Iosif B. Meyerov	Black-Scholes Option Pricing on Intel CPUs and GPUs: Implementation on SYCL and Optimization Techniques.	CoRR	2022	DBLP DOI BibTeX RDF
29	Anshima Singh, Sunil Kumar	An efficient numerical method based on exponential B-splines for time-fractional Black-Scholes equation governing European options.	CoRR	2022	DBLP DOI BibTeX RDF
29	Dana Cerná, Katerina Finková	Option Pricing under Multifactor Black-Scholes Model Using Orthogonal Spline Wavelets.	CoRR	2022	DBLP DOI BibTeX RDF
29	Min Zhang, Guo-Feng Zhang 0001	Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing.	Numer. Algorithms	2022	DBLP DOI BibTeX RDF
29	Mingjie Ma, Jianhui Yang, Ruobing Liu	A novel structure automatic-determined Fourier extreme learning machine for generalized Black-Scholes partial differential equation.	Knowl. Based Syst.	2022	DBLP DOI BibTeX RDF
29	Farshid Nourian, Mehrdad Lakestani, Sedigheh Sabermahani, Yadollah Ordokhani	Touchard wavelet technique for solving time-fractional Black-Scholes model.	Comput. Appl. Math.	2022	DBLP DOI BibTeX RDF
29	Rui M. P. Almeida, Teófilo D. Chihaluca, José C. M. Duque	Approach to the Delta Greek of nonlinear Black-Scholes equation governing European options.	J. Comput. Appl. Math.	2022	DBLP DOI BibTeX RDF
29	Saeede Rashidi, S. Reza Hejazi, Fatemeh Mohammadizadeh	Group formalism of Lie transformations, conservation laws, exact and numerical solutions of non-linear time-fractional Black-Scholes equation.	J. Comput. Appl. Math.	2022	DBLP DOI BibTeX RDF
29	Marcin Wróblewski, Andrzej Myslinski	Non-linear Black-Scholes Option Pricing Model based on Quantum Dynamics.	COMPLEXIS	2022	DBLP DOI BibTeX RDF
29	Xin-Jiang He, Sha Lin	A fractional Black-Scholes model with stochastic volatility and European option pricing.	Expert Syst. Appl.	2021	DBLP DOI BibTeX RDF
29	Ruifang Yan, Xiaozhong Yang, Shuzhen Sun	A class of explicit-implicit alternating parallel difference methods for the two-dimensional Black-Scholes equation.	Int. J. Comput. Math.	2021	DBLP DOI BibTeX RDF
29	Zhaowei Tian, Shuying Zhai, Haifeng Ji, Zhifeng Weng	A compact quadratic spline collocation method for the time-fractional Black-Scholes model.	J. Appl. Math. Comput.	2021	DBLP DOI BibTeX RDF
29	Mianfu She, Lili Li, Renxuan Tang, Dongfang Li	A novel numerical scheme for a time fractional Black-Scholes equation.	J. Appl. Math. Comput.	2021	DBLP DOI BibTeX RDF
29	Jisang Lyu, Eunchae Park, Sangkwon Kim, Wonjin Lee, Chaeyoung Lee, Sungha Yoon, Jintae Park, Junseok Kim	Optimal non-uniform finite difference grids for the Black-Scholes equations.	Math. Comput. Simul.	2021	DBLP DOI BibTeX RDF
29	Beatriz Salvador, Cornelis W. Oosterlee	Corrigendum to "Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model".	Appl. Math. Comput.	2021	DBLP DOI BibTeX RDF
29	Beatriz Salvador, Cornelis W. Oosterlee	Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model.	Appl. Math. Comput.	2021	DBLP DOI BibTeX RDF
29	Maba Boniface Matadi, Phumlani Lawrence Zondi	Invariant Solutions of Black-Scholes Equation with Ornstein-Uhlenbeck Process.	Symmetry	2021	DBLP DOI BibTeX RDF
29	Maryam Rezaei, Ahmad Reza Yazdanian, Ali Ashrafi, Seyed Mahdi Mahmoudi	Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: Double barrier options.	Comput. Math. Appl.	2021	DBLP DOI BibTeX RDF
29	Yinghao Chen, Hanyu Yu, Xiangyu Meng, Xiaoliang Xie, Muzhou Hou, Julien Chevallier	Numerical solving of the generalized Black-Scholes differential equation using Laguerre neural network.	Digit. Signal Process.	2021	DBLP DOI BibTeX RDF
29	Sirunya Thanompolkrang, Wannika Sawangtong, Panumart Sawangtong	Application of the Generalized Laplace Homotopy Perturbation Method to the Time-Fractional Black-Scholes Equations Based on the Katugampola Fractional Derivative in Caputo Type.	Comput.	2021	DBLP DOI BibTeX RDF
29	Saeed Bajalan, Nastaran Bajalan	Novel ANN method for solving ordinary and fractional Black-Scholes equation.	CoRR	2021	DBLP BibTeX RDF
29	Lukas Gonon	Random feature neural networks learn Black-Scholes type PDEs without curse of dimensionality.	CoRR	2021	DBLP BibTeX RDF
29	Kerui Song, Pin Lyu	A high-order and fast scheme with variable time steps for the time-fractional Black-Scholes equation.	CoRR	2021	DBLP BibTeX RDF
29	Grzegorz Krzyzanowski, Marcin Magdziarz	A tempered subdiffusive Black-Scholes model.	CoRR	2021	DBLP BibTeX RDF
29	Hemanta Mandal, B. Bira, Dia Zeidan	Optimal algebra and power series solution of fractional Black-Scholes pricing model.	Soft Comput.	2021	DBLP DOI BibTeX RDF
29	Sangkwon Kim, Hyunsoo Han, Hanbyeol Jang, Darae Jeong, Chaeyoung Lee, Wonjin Lee, Junseok Kim	Reconstruction of the local volatility function using the Black-Scholes model.	J. Comput. Sci.	2021	DBLP DOI BibTeX RDF
29	A. Torres-Hernandez, F. Brambila-Paz, C. A. Torres-Martínez	Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black-Scholes.	Comput. Appl. Math.	2021	DBLP DOI BibTeX RDF
29	Grzegorz Krzyzanowski, Marcin Magdziarz	A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model.	Commun. Nonlinear Sci. Numer. Simul.	2021	DBLP DOI BibTeX RDF
29	Saeed Bajalan, Nastaran Bajalan	Novel ANN Method for Solving Ordinary and Time-Fractional Black-Scholes Equation.	Complex.	2021	DBLP DOI BibTeX RDF
29	Zijing Zhao 0003, Taozheng Guo	Analyze the Value of European Options and Power Options Based on Black-Scholes Model.	ICEME	2021	DBLP DOI BibTeX RDF
29	Zhongwen Liu, Yifei Chen	Valuation Method of Equity Incentives of Listed Companies Based on the Black-Scholes Model.	Int. J. Inf. Syst. Serv. Sect.	2020	DBLP DOI BibTeX RDF
29	Abdelmjid Qadi El Idrissi, Boujemâa Achchab, Abdellahi Cheikh Maloum	Numerical simulation of the Black-Scholes equation using the SPH method.	Int. J. Comput. Sci. Math.	2020	DBLP DOI BibTeX RDF
29	Wen Chen 0014, Song Wang 0004	A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing.	Math. Comput. Simul.	2020	DBLP DOI BibTeX RDF
29	Warattaya Chinnakum, Sean R. Aguilar	Why Black-Scholes Equations Are Effective Beyond Their Usual Assumptions: Symmetry-Based Explanation.	Int. J. Uncertain. Fuzziness Knowl. Based Syst.	2020	DBLP DOI BibTeX RDF
29	Julius Berner, Philipp Grohs, Arnulf Jentzen	Analysis of the Generalization Error: Empirical Risk Minimization over Deep Artificial Neural Networks Overcomes the Curse of Dimensionality in the Numerical Approximation of Black-Scholes Partial Differential Equations.	SIAM J. Math. Data Sci.	2020	DBLP DOI BibTeX RDF
29	Malik Zaka Ullah	An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations.	Comput. Math. Appl.	2020	DBLP DOI BibTeX RDF
29	Grzegorz Krzyzanowski, Marcin Magdziarz, Lukasz Plociniczak	A weighted finite difference method for subdiffusive Black-Scholes model.	Comput. Math. Appl.	2020	DBLP DOI BibTeX RDF
29	Winter Sinkala, Tembinkosi F. Nkalashe	Studying a Tumor Growth Partial Differential Equation via the Black-Scholes Equation.	Comput.	2020	DBLP DOI BibTeX RDF
29	Winter Sinkala	On the Generation of Infinitely Many Conservation Laws of the Black-Scholes Equation.	Comput.	2020	DBLP DOI BibTeX RDF
29	Sang-Mun Chi	A differential neural network learns stochastic differential equations and the Black-Scholes equation for pricing multi-asset options.	CoRR	2020	DBLP BibTeX RDF
29	Kirill V. Golubnichiy, Tianyang Wang, Andrey V. Nikitin	An Evaluation of novel method of Ill-Posed Problem for the Black-Scholes Equation solution.	CoRR	2020	DBLP BibTeX RDF
29	A. Torres-Hernandez, F. Brambila-Paz, C. A. Torres-Martínez	Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black-Scholes.	CoRR	2020	DBLP BibTeX RDF
29	Grzegorz Krzyzanowski, Marcin Magdziarz	A weighted finite difference method for American and Barrier options in subdiffusive Black-Scholes Model.	CoRR	2020	DBLP BibTeX RDF
29	S. R. Saratha, Sai Sundara Krishnan Gangadharan, Morachan Bagyalakshmi, Chee Peng Lim	Solving Black-Scholes equations using fractional generalized homotopy analysis method.	Comput. Appl. Math.	2020	DBLP DOI BibTeX RDF
29	Amitesh S. Jayaraman, Domenico Campolo, Gregory S. Chirikjian	Black-Scholes Theory and Diffusion Processes on the Cotangent Bundle of the Affine Group.	Entropy	2020	DBLP DOI BibTeX RDF
29	Sha Lin, Xin-Jiang He	A regime switching fractional Black-Scholes model and European option pricing.	Commun. Nonlinear Sci. Numer. Simul.	2020	DBLP DOI BibTeX RDF
29	Sylwester Arabas, Ahmad Farhat	Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations.	J. Comput. Appl. Math.	2020	DBLP DOI BibTeX RDF
29	Pradip Roul, V. M. K. Prasad Goura	A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option.	J. Comput. Appl. Math.	2020	DBLP DOI BibTeX RDF
29	Pradip Roul, V. M. K. Prasad Goura	A sixth order numerical method and its convergence for generalized Black-Scholes PDE.	J. Comput. Appl. Math.	2020	DBLP DOI BibTeX RDF
29	Tristan Guillaume	On the multidimensional Black-Scholes partial differential equation.	Ann. Oper. Res.	2019	DBLP DOI BibTeX RDF
29	Choi-Hong Lai	Modification terms to the Black-Scholes model in a realistic hedging strategy with discrete temporal steps.	Int. J. Comput. Math.	2019	DBLP DOI BibTeX RDF
29	Feng Chen 0019, Zeqi Wang, Yue Yang	A new operator splitting method for American options under fractional Black-Scholes models.	Comput. Math. Appl.	2019	DBLP DOI BibTeX RDF
29	Shu Wang, Fang Yuan	The asymptotic behavior of the solutions of the Black-Scholes equation as volatility σ→0+.	Comput. Math. Appl.	2019	DBLP DOI BibTeX RDF
29	Ludovic Goudenège, Andrea Molent, Antonino Zanette	Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models.	Comput. Manag. Sci.	2019	DBLP DOI BibTeX RDF
29	Grzegorz Krzyzanowski, Marcin Magdziarz, Lukasz Plociniczak	A weighted finite difference method for subdiffusive Black Scholes Model.	CoRR	2019	DBLP BibTeX RDF
29	Qinmeng Zou, Guillaume Gbikpi Benissan, Frédéric Magoulès	Asynchronous Communications Library for the Parallel-in-Time Solution of Black-Scholes Equation.	CoRR	2019	DBLP BibTeX RDF
29	Ahmad Golbabai, Omid Nikan, Touraj Nikazad	Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market.	Comput. Appl. Math.	2019	DBLP DOI BibTeX RDF
29	Will Hicks	PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation.	Entropy	2019	DBLP DOI BibTeX RDF
29	Lei Li	The simulation of CSI 300 Index Option Pricing Based on Black-Scholes Model.	CYBCONF	2019	DBLP DOI BibTeX RDF
29	Sona Kilianová, Boris Letko	An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model.	Risk Decis. Anal.	2018	DBLP DOI BibTeX RDF
29	Sirajul Haq, Manzoor Hussain	Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models.	Appl. Math. Comput.	2018	DBLP DOI BibTeX RDF
29	S. Chandra Sekhara Rao, Manisha	Numerical solution of generalized Black-Scholes model.	Appl. Math. Comput.	2018	DBLP DOI BibTeX RDF
29	Jinhao Hu, Siqing Gan	High order method for Black-Scholes PDE.	Comput. Math. Appl.	2018	DBLP DOI BibTeX RDF
29	Zhongdi Cen, Jian Huang 0011, Aimin Xu, Anbo Le	Numerical approximation of a time-fractional Black-Scholes equation.	Comput. Math. Appl.	2018	DBLP DOI BibTeX RDF
29	Song-Ping Zhu, Xin-Jiang He	A modified Black-Scholes pricing formula for European options with bounded underlying prices.	Comput. Math. Appl.	2018	DBLP DOI BibTeX RDF
29	Philipp Grohs, Fabian Hornung, Arnulf Jentzen, Philippe von Wurstemberger	A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations.	CoRR	2018	DBLP BibTeX RDF
29	Julius Berner, Philipp Grohs, Arnulf Jentzen	Analysis of the generalization error: Empirical risk minimization over deep artificial neural networks overcomes the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations.	CoRR	2018	DBLP BibTeX RDF