پیوندهای مفید
آمار
| تعداد نشریات | 32 |
| تعداد شمارهها | 819 |
| تعداد مقالات | 7,946 |
| تعداد مشاهده مقاله | 40,890,844 |
| تعداد دریافت فایل اصل مقاله | 8,465,860 |
Numerical pricing of American options under a nonlinear Black-Scholes framework with mixed fractional Brownian motion | ||
| Journal of Mathematical Modeling | ||
| مقالات آماده انتشار، اصلاح شده برای چاپ، انتشار آنلاین از تاریخ 12 آذر 1404 اصل مقاله (703.35 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22124/jmm.2025.30891.2773 | ||
| نویسندگان | ||
| Afshin Babaei* 1؛ Maryam Rezaei2 | ||
| 1Faculty of MAthematical sciences, University of Mazandaran, Babolsar, Iran. | ||
| 2Faculty of Mathematical Sciences, University of Mazandaran, Babolsar, Iran. | ||
| چکیده | ||
| Transaction costs significantly impact option pricing and trading strategies in financial markets. This study investigates the valuation of American options under transaction costs, modeled as a linear function of the underlying asset price. To capture long-range dependence in asset returns, the underlying dynamics are described by a mixed fractional Brownian motion (fBm). The model incorporates dividend-paying stocks, along with time-varying interest and dividend rates. A compact finite difference scheme is developed to solve the resulting nonlinear Black-Scholes equation, ensuring numerical stability and accuracy. The proposed framework offers an efficient approach for pricing American options in realistic market conditions. | ||
| کلیدواژهها | ||
| Mixed fractional Brownian motion؛ Transaction costs؛ American options؛ Compact difference scheme | ||
|
آمار تعداد مشاهده مقاله: 5 تعداد دریافت فایل اصل مقاله: 3 |
||