Neimark-Sacker bifurcation in a discrete-time financial system.
Neuro-Fuzzy Modeling in Bankruptcy Prediction
Nonexpansive maps and option pricing theory
The famous Black–Sholes (BS) and Cox–Ross–Rubinstein (CRR) formulas are basic results in the modern theory of option pricing in financial mathematics. They are usually deduced by means of stochastic analysis; various generalisations of these formulas were proposed using more sophisticated stochastic models for common stocks pricing evolution. In this paper we develop systematically a deterministic approach to the option pricing that leads to a different type of generalisations of BS and CRR formulas...
Nonstandard Finite Difference Schemes with Application to Finance: Option Pricing
2000 Mathematics Subject Classification: 65M06, 65M12.The paper is devoted to pricing options characterized by discontinuities in the initial conditions of the respective Black-Scholes partial differential equation. Finite difference schemes are examined to highlight how discontinuities can generate numerical drawbacks such as spurious oscillations. We analyze the drawbacks of the Crank-Nicolson scheme that is most frequently used numerical method in Finance because of its second order accuracy....
Normality assumption for the log-return of the stock prices
The normality of the log-returns for the price of the stocks is one of the most important assumptions in mathematical finance. Usually is assumed that the price dynamics of the stocks are driven by geometric Brownian motion and, in that case, the log-return of the prices are independent and normally distributed. For instance, for the Black-Scholes model and for the Black-Scholes pricing formula [4] this is one of the main assumptions. In this paper we will investigate if this assumption is verified...