Добірка наукової літератури з теми "Fractal black-scholes model"
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Статті в журналах з теми "Fractal black-scholes model"
Thanompolkrang, Sirunya, Wannika Sawangtong, and 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." Computation 9, no. 3 (March 12, 2021): 33. http://dx.doi.org/10.3390/computation9030033.
Повний текст джерелаBAYRAKTAR, ERHAN, and H. VINCENT POOR. "ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC." International Journal of Theoretical and Applied Finance 08, no. 03 (May 2005): 283–300. http://dx.doi.org/10.1142/s0219024905003037.
Повний текст джерелаHeyde, C. C. "A risky asset model with strong dependence through fractal activity time." Journal of Applied Probability 36, no. 04 (December 1999): 1234–39. http://dx.doi.org/10.1017/s0021900200018003.
Повний текст джерелаHeyde, C. C. "A risky asset model with strong dependence through fractal activity time." Journal of Applied Probability 36, no. 4 (December 1999): 1234–39. http://dx.doi.org/10.1239/jap/1032374769.
Повний текст джерелаWang, Jian, Shuai Wen, Mengdie Yang, and Wei Shao. "Practical finite difference method for solving multi-dimensional black-Scholes model in fractal market." Chaos, Solitons & Fractals 157 (April 2022): 111895. http://dx.doi.org/10.1016/j.chaos.2022.111895.
Повний текст джерелаHe, Juan, and Aiqing Zhang. "Finite Difference/Fourier Spectral for a Time Fractional Black–Scholes Model with Option Pricing." Mathematical Problems in Engineering 2020 (September 4, 2020): 1–9. http://dx.doi.org/10.1155/2020/1393456.
Повний текст джерелаBaidya, Tara Keshar Nanda, and Alessandro de Lima Castro. "CONVERGÊNCIA DOS MODELOS DE ÁRVORES BINOMIAIS PARA AVALIAÇÃO DE OPÇÕES." Pesquisa Operacional 21, no. 1 (June 2001): 17–30. http://dx.doi.org/10.1590/s0101-74382001000100002.
Повний текст джерелаRibeiro, Tulio Silva, and Ricardo Pereira Câmara Leal. "Estrutura fractal em mercados emergentes." Revista de Administração Contemporânea 6, no. 3 (December 2002): 97–108. http://dx.doi.org/10.1590/s1415-65552002000300006.
Повний текст джерелаSierra Juárez, Guillermo. "VALUACIÓN DE OPCIONES EUROPEAS Y MODELO DE ESTRUCTURA DE PLAZOS VASICEK SOBRE SUBYACENTES CON CARACTERÍSTICAS DE MEMORIA LARGA: EL CASO DE MÉXICO." PANORAMA ECONÓMICO 3, no. 6 (April 26, 2017): 28. http://dx.doi.org/10.29201/pe-ipn.v3i6.126.
Повний текст джерелаДисертації з теми "Fractal black-scholes model"
Романко, Олексій Ростиславович. "Фрактальні моделі економічних процесів". Master's thesis, Київ, 2018. https://ela.kpi.ua/handle/123456789/23562.
Повний текст джерелаMaster thesis: 94p., 10 pictures, 31 tables, 3 appendices, 21 citations. Current work describes the construction methodology for the fractal model of option pricing of the index-based underlying assets, that are subject to trade on stock exchanges. Three types of models are discussed: fractional Black – Scholes model, classical Black – Scholes model, Stochastic Alpha, Betha, Rho model. The relevance of master thesis is in the explanation of the fractal approach to the modeling of options’ price, that is not sufficiently studied for the practical applicability by the researchers. The aim of the study: build a model of fractal analysis; compare the model in terms of accuracy of prediction to the available classical andmodern option pricing models; develop software that implements algorithms of fractal analysis. The object of the research is fractional models of financial processes, modeling of objects which are described by distributed time series data. The subject of the study is non-stationary time series with correlations slowly changing with the time and match the characteristics of fractal time series, as well as mathematical and economic models that are build on top of that time series. Theoretical and methodological basis of the study are works of domestic and foreign scholars in the field of economic theory, mathematical modeling, predictive models and fractal theory market. The methodology is implemented on the basis of already known algorithms and using own development. The software for the automatization of modek estimation is implemented using the programming language R. The recommendations for further research are given.