Cover Image

Black-Scholes Model, comparison between Analytical Solution and Numerical Analysis

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Romaggi, Francesco
Format:	Preprint
Published:	2025
Subjects:	Pricing of Securities Computational Engineering, Finance, and Science Computational Finance Risk Management 91G80, 35Q91, 65M06, 65M12, 60H30 G.1.8; G.1.10; I.6.5; J.4
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Pricing Derivatives under Self-Exciting Dynamics: A Finite-Difference and Transform Approach
by: Ahmed, Aqib, et al.
Published: (2026)

Data-Driven Stochastic Optimal Control for Intraday Electricity Trading by Renewable Producers
by: Hammouda, Chiheb Ben, et al.
Published: (2026)

Computing Black Scholes with Uncertain Volatility-A Machine Learning Approach
by: Hellmuth, Kathrin, et al.
Published: (2022)

Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
by: Scoleri, Stefano, et al.
Published: (2026)

Faster Forward Sensitivities: Reduced stochastic hedge ratios from pathwise algorithmic differentiation
by: Fries, Christian P
Published: (2026)

Optimal strategy and deep hedging for share repurchase programs
by: Corti, Stefano, et al.
Published: (2026)

Rough volatility dynamics in commodity markets
by: Daluiso, Roberto, et al.
Published: (2026)

Machine-learning regression methods for American-style path-dependent contracts
by: Gambara, Matteo, et al.
Published: (2023)

Pricing Quanto and Composite Contracts with Local-Correlation Models
by: Pallavicini, Andrea
Published: (2025)

Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models
by: Düring, Bertram, et al.
Published: (2021)

A deep learning approach for pricing convertible bonds with path-dependent reset and call provisions
by: Zhu, Qinwen, et al.
Published: (2026)

Fast-Vollib: A Fast Implied Volatility Library for Pythonwith PyTorch, JAX, and CUDA Fused-Kernel Backends
by: Saqur, Raeid
Published: (2026)

Stochastic Volatility, Jumps, and Rates: A Unified Framework for Option Pricing and Term-Structure Simulation
by: Putri, Nunik Srikandi, et al.
Published: (2026)

Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
by: Bossu, Sebastien, et al.
Published: (2025)

Pricing and calibration in the 4-factor path-dependent volatility model
by: Gazzani, Guido, et al.
Published: (2024)

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
by: Bourgey, Florian, et al.
Published: (2021)

Numerical methods for optimal decumulation of a defined contribution pension plan
by: Forsyth, Peter A., et al.
Published: (2026)

Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
by: Choi, Jaehyuk, et al.
Published: (2023)

Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing
by: Dimitrov, Mara Kalicanin, et al.
Published: (2025)

The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance
by: Huang, Zhipeng, et al.
Published: (2026)

Generalized measure Black-Scholes equation: Towards option self-similar pricing
by: Riane, Nizar, et al.
Published: (2024)

Uncertainty quantification in the Henry problem using the multilevel Monte Carlo method
by: Logashenko, Dmitry, et al.
Published: (2024)

A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
by: Negyesi, Balint, et al.
Published: (2025)

A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models
by: Georgoulis, Emmanuil H., et al.
Published: (2024)

Multi-Period Martingale Optimal Transport: Classical Theory, Neural Acceleration, and Financial Applications
by: B, Sri Sairam Gautam
Published: (2026)

The Black-Scholes-Merton dual equation
by: Guo, Shuxin, et al.
Published: (2019)

Efficient and accurate simulation of the stochastic-alpha-beta-rho model
by: Choi, Jaehyuk, et al.
Published: (2024)

Single- and Multi-Level Fourier-RQMC Methods for Multivariate Shortfall Risk
by: Hammouda, Chiheb Ben, et al.
Published: (2026)

Consistent asset modelling with random coefficients and switches between regimes
by: Wolf, Felix L., et al.
Published: (2024)

Rough Martingale Optimal Transport: Theory, Implementation, and Regulatory Applications for Non-Modelable Risk Factors
by: B., Sri Sairam Gautam, et al.
Published: (2026)

Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
by: Coffie, Emmanuel
Published: (2025)

Alternative models for FX: pricing double barrier options in regime-switching Lévy models with memory
by: Boyarchenko, Svetlana, et al.
Published: (2024)

Correct implied volatility shapes and reliable pricing in the rough Heston model
by: Boyarchenko, Svetlana, et al.
Published: (2024)

Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Nested Simulations
by: Boumezoued, Alexandre, et al.
Published: (2025)

Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
by: Silotto, Lorenzo, et al.
Published: (2021)

From Arbitrage Removal to Density Extraction: A Model-Free Framework for Short-Dated Options
by: Wizman, Aaron, et al.
Published: (2026)

Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees
by: Langrené, Nicolas, et al.
Published: (2026)

On the Weak Error for Local Stochastic Volatility Models
by: Friz, Peter K., et al.
Published: (2025)

Extreme ATM skew in a local volatility model with discontinuity: joint density approach
by: Gairat, Alexander, et al.
Published: (2023)

Quantum-Theoretical Re-interpretation of Pricing Theory
by: Xin, Tian
Published: (2025)