Full-text resources of PSJD and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl
Preferences help
Polish version English version Language
enabled [disable] Abstract
Number of results

Results found: 3

Number of results on page
first rewind previous Page / 1 next fast forward last

Search results

help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Content available remote

Numerical Solution of Fractional Black-Scholes Equation by Using the Multivariate Padé Approximation

100%
Özdemir N., Yavuz M.
Acta Physica Polonica A
|
2017
|
vol. 132
|
issue 3
1050-1053
EN
In this study, a new application of multivariate Padé approximation method has been used for solving European vanilla call option pricing problem. Padé polynomials have occurred for the fractional Black-Scholes equation, according to the relations of "smaller than", or "greater than", between stock price and exercise price of the option. Using these polynomials, we have applied the multivariate Padé approximation method to our fractional equation and we have calculated numerical solutions of fractional Black-Scholes equation for both of two situations. The obtained results show that the multivariate Padé approximation is a very quick and accurate method for fractional Black-Scholes equation. The fractional derivative is understood in the Caputo sense.
2
Content available remote

q-Gaussian approximants mimic non-extensive statistical-mechanical expectation for many-body probabilistic model with long-range correlations

84%
Thistleton W., Marsh J., Nelson K., Tsallis C.
Open Physics
|
2009
|
vol. 7
|
issue 3
387-394
EN
We study a strictly scale-invariant probabilistic N-body model with symmetric, uniform, identically distributed random variables. Correlations are induced through a transformation of a multivariate Gaussian distribution with covariance matrix decaying out from the unit diagonal, as ρ/r α for r =1, 2, ..., N-1, where r indicates displacement from the diagonal and where 0 ⩽ ρ ⩽ 1 and α ⩾ 0. We show numerically that the sum of the N dependent random variables is well modeled by a compact support q-Gaussian distribution. In the particular case of α = 0 we obtain q = (1-5/3 ρ) / (1- ρ), a result validated analytically in a recent paper by Hilhorst and Schehr. Our present results with these q-Gaussian approximants precisely mimic the behavior expected in the frame of non-extensive statistical mechanics. The fact that the N → ∞ limiting distributions are not exactly, but only approximately, q-Gaussians suggests that the present system is not exactly, but only approximately, q-independent in the sense of the q-generalized central limit theorem of Umarov, Steinberg and Tsallis. Short range interaction (α > 1) and long range interactions (α < 1) are discussed. Fitted parameters are obtained via a Method of Moments approach. Simple mechanisms which lead to the production of q-Gaussians, such as mixing, are discussed.
3
Content available remote

Massive scalar field quasinormal modes of a Schwarzschild black hole surrounded by quintessence

84%
Ma C., Gui Y., Wang W., Wang F.
Open Physics
|
2008
|
vol. 6
|
issue 2
194-198
EN
We present the quasinormal frequencies of the massive scalar field in the background of a Schwarzchild black hole surrounded by quintessence with the third-order WKB method. The mass of the scalar field u plays an important role in studying the quasinormal frequencies, the real part of the frequencies increases linearly as mass of the field u increases, while the imaginary part in absolute value decreases linearly which leads to damping more slowly than the massless scalar field. The frequencies have a limited value, so it is easier to detect the quasinormal modes. Moreover, owing to the presence of the quintessence, the massive scalar field damps more slowly.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.