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Article
Publication date: 20 March 2024

Nisha, Neha Puri, Namita Rajput and Harjit Singh

The purpose of this study is to analyse and compile the literature on various option pricing models (OPM) or methodologies. The report highlights the gaps in the existing…

Abstract

Purpose

The purpose of this study is to analyse and compile the literature on various option pricing models (OPM) or methodologies. The report highlights the gaps in the existing literature review and builds recommendations for potential scholars interested in the subject area.

Design/methodology/approach

In this study, the researchers used a systematic literature review procedure to collect data from Scopus. Bibliometric and structured network analyses were used to examine the bibliometric properties of 864 research documents.

Findings

As per the findings of the study, publication in the field has been increasing at a rate of 6% on average. This study also includes a list of the most influential and productive researchers, frequently used keywords and primary publications in this subject area. In particular, Thematic map and Sankey’s diagram for conceptual structure and for intellectual structure co-citation analysis and bibliographic coupling were used.

Research limitations/implications

Based on the conclusion presented in this paper, there are several potential implications for research, practice and society.

Practical implications

This study provides useful insights for future research in the area of OPM in financial derivatives. Researchers can focus on impactful authors, significant work and productive countries and identify potential collaborators. The study also highlights the commonly used OPMs and emerging themes like machine learning and deep neural network models, which can inform practitioners about new developments in the field and guide the development of new models to address existing limitations.

Social implications

The accurate pricing of financial derivatives has significant implications for society, as it can impact the stability of financial markets and the wider economy. The findings of this study, which identify the most commonly used OPMs and emerging themes, can help improve the accuracy of pricing and risk management in the financial derivatives sector, which can ultimately benefit society as a whole.

Originality/value

It is possibly the initial effort to consolidate the literature on calibration on option price by evaluating and analysing alternative OPM applied by researchers to guide future research in the right direction.

Details

Qualitative Research in Financial Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1755-4179

Keywords

Article
Publication date: 26 September 2023

Thameem Hayath Basha, Sivaraj Ramachandran and Bongsoo Jang

The need for precise synthesis of customized designs has resulted in the development of advanced coating processes for modern nanomaterials. Achieving accuracy in these processes…

Abstract

Purpose

The need for precise synthesis of customized designs has resulted in the development of advanced coating processes for modern nanomaterials. Achieving accuracy in these processes requires a deep understanding of thermophysical behavior, rheology and complex chemical reactions. The manufacturing flow processes for these coatings are intricate and involve heat and mass transfer phenomena. Magnetic nanoparticles are being used to create intelligent coatings that can be externally manipulated, making them highly desirable. In this study, a Keller box calculation is used to investigate the flow of a coating nanofluid containing a viscoelastic polymer over a circular cylinder.

Design/methodology/approach

The rheology of the coating polymer nanofluid is described using the viscoelastic model, while the effects of nanoscale are accounted for by using Buongiorno’s two-component model. The nonlinear PDEs are transformed into dimensionless PDEs via a nonsimilar transformation. The dimensionless PDEs are then solved using the Keller box method.

Findings

The transport phenomena are analyzed through a comprehensive parametric study that investigates the effects of various emerging parameters, including thermal radiation, Biot number, Eckert number, Brownian motion, magnetic field and thermophoresis. The results of the numerical analysis, such as the physical variables and flow field, are presented graphically. The momentum boundary layer thickness of the viscoelastic polymer nanofluid decreases as fluid parameter increases. An increase in mixed convection parameter leads to a rise in the Nusselt number. The enhancement of the Brinkman number and Biot number results in an increase in the total entropy generation of the viscoelastic polymer nanofluid.

Practical implications

Intelligent materials rely heavily on the critical characteristic of viscoelasticity, which displays both viscous and elastic effects. Viscoelastic models provide a comprehensive framework for capturing a range of polymeric characteristics, such as stress relaxation, retardation, stretching and molecular reorientation. Consequently, they are a valuable tool in smart coating technologies, as well as in various applications like supercapacitor electrodes, solar collector receivers and power generation. This study has practical applications in the field of coating engineering components that use smart magnetic nanofluids. The results of this research can be used to analyze the dimensions of velocity profiles, heat and mass transfer, which are important factors in coating engineering. The study is a valuable contribution to the literature because it takes into account Joule heating, nonlinear convection and viscous dissipation effects, which have a significant impact on the thermofluid transport characteristics of the coating.

Originality/value

The momentum boundary layer thickness of the viscoelastic polymer nanofluid decreases as the fluid parameter increases. An increase in the mixed convection parameter leads to a rise in the Nusselt number. The enhancement of the Brinkman number and Biot number results in an increase in the total entropy generation of the viscoelastic polymer nanofluid. Increasing the strength of the magnetic field promotes an increase in the density of the streamlines. An increase in the mixed convection parameter results in a decrease in the isotherms and isoconcentration.

Details

International Journal of Numerical Methods for Heat & Fluid Flow, vol. 34 no. 2
Type: Research Article
ISSN: 0961-5539

Keywords

Open Access
Article
Publication date: 7 June 2022

Manoj Kumar

In this paper, the author presents a hybrid method along with its error analysis to solve (1+2)-dimensional non-linear time-space fractional partial differential equations (FPDEs).

Abstract

Purpose

In this paper, the author presents a hybrid method along with its error analysis to solve (1+2)-dimensional non-linear time-space fractional partial differential equations (FPDEs).

Design/methodology/approach

The proposed method is a combination of Sumudu transform and a semi-analytc technique Daftardar-Gejji and Jafari method (DGJM).

Findings

The author solves various non-trivial examples using the proposed method. Moreover, the author obtained the solutions either in exact form or in a series that converges to a closed-form solution. The proposed method is a very good tool to solve this type of equations.

Originality/value

The present work is original. To the best of the author's knowledge, this work is not done by anyone in the literature.

Details

Arab Journal of Mathematical Sciences, vol. 30 no. 1
Type: Research Article
ISSN: 1319-5166

Keywords

Article
Publication date: 19 February 2024

Muhammad Sohail and Syed Tehseen Abbas

This study aims to analyze the Prandtl fluid flow in the presence of better mass diffusion and heat conduction models. By taking into account a linearly bidirectional stretchable…

Abstract

Purpose

This study aims to analyze the Prandtl fluid flow in the presence of better mass diffusion and heat conduction models. By taking into account a linearly bidirectional stretchable sheet, flow is produced. Heat generation effect, thermal radiation, variable thermal conductivity, variable diffusion coefficient and Cattaneo–Christov double diffusion models are used to evaluate thermal and concentration diffusions.

Design/methodology/approach

The governing partial differential equations (PDEs) have been made simpler using a boundary layer method. Strong nonlinear ordinary differential equations (ODEs) relate to appropriate non-dimensional similarity variables. The optimal homotopy analysis technique is used to develop solution.

Findings

Graphs analyze the impact of many relevant factors on temperature and concentration. The physical parameters, such as mass and heat transfer rates at the wall and surface drag coefficients, are also displayed and explained.

Originality/value

The reported work discusses the contribution of generalized flux models to note their impact on heat and mass transport.

Details

Multidiscipline Modeling in Materials and Structures, vol. 20 no. 2
Type: Research Article
ISSN: 1573-6105

Keywords

Article
Publication date: 10 August 2023

Prashant Sharma, Dinesh Kumar Sharma and Prashant Gupta

Option pricing theory enables computation of the price of an option using different variables associated with the underlying security and options contract. The purpose of this…

Abstract

Purpose

Option pricing theory enables computation of the price of an option using different variables associated with the underlying security and options contract. The purpose of this study is to assess research trends that emerged in the field of option pricing. This study reviews existing literature of the option pricing domain, both qualitatively and quantitatively, and identifies potential themes for future research.

Design/methodology/approach

This study adopts bibliometric analysis method to explore literature published in the option pricing domain. As part of bibliometric analysis, this study considers both descriptive and network analysis to assess publication trends. For descriptive analysis, the “bibliometrix” package proposed by Aria and Cuccurullo (2017) is used and for network analysis, VOS viewer (Van Eck and Waltman, 2017) and Gephi (Bastian et al., 2009) are used.

Findings

This study identifies research trends, top researchers, articles, journals and contributions from institutions and countries in the option pricing domain. It identifies four clusters that show different directions and also focuses on past studies on the same subject. It explores research gaps by performing an in-depth analysis of existing literature on option pricing and suggests the way forward for research in this area.

Originality/value

To the best of the authors’ knowledge, no previous studies have attempted to analyze the literature published in the option pricing domain. This study fulfils this research gap by conducting a comprehensive analysis of studies in the option pricing area. This study identifies quality research work published in the domain, research trends, contribution by most relevant researchers, contributions across geographies and institutions and the connections among these aspects. This study also identifies important themes and provides directions for future research.

Details

Qualitative Research in Financial Markets, vol. 16 no. 1
Type: Research Article
ISSN: 1755-4179

Keywords

Article
Publication date: 9 January 2024

Bhupendra Kumar Sharma, Umesh Khanduri, Rishu Gandhi and Taseer Muhammad

The purpose of this paper is to study haemodynamic flow characteristics and entropy analysis in a bifurcated artery system subjected to stenosis, magnetohydrodynamic (MHD) flow…

Abstract

Purpose

The purpose of this paper is to study haemodynamic flow characteristics and entropy analysis in a bifurcated artery system subjected to stenosis, magnetohydrodynamic (MHD) flow and aneurysm conditions. The findings of this study offer significant insights into the intricate interplay encompassing electro-osmosis, MHD flow, microorganisms, Joule heating and the ternary hybrid nanofluid.

Design/methodology/approach

The governing equations are first non-dimensionalised, and subsequently, a coordinate transformation is used to regularise the irregular boundaries. The discretisation of the governing equations is accomplished by using the Crank–Nicolson scheme. Furthermore, the tri-diagonal matrix algorithm is applied to solve the resulting matrix arising from the discretisation.

Findings

The investigation reveals that the velocity profile experiences enhancement with an increase in the Debye–Hückel parameter, whereas the magnetic field parameter exhibits the opposite effect, reducing the velocity profile. A comparative study demonstrates the velocity distribution in Au-CuO hybrid nanofluid and Au-CuO-GO ternary hybrid nanofluid. The results indicate a notable enhancement in velocity for the ternary hybrid nanofluid compared to the hybrid nanofluids. Moreover, an increase in the Brinkmann number results in an augmentation in entropy generation.

Originality/value

This study investigates the flow characteristics and entropy analysis in a bifurcated artery system subjected to stenosis, MHD flow and aneurysm conditions. The governing equations are non-dimensionalised, and a coordinate transformation is applied to regularise the irregular boundaries. The Crank–Nicolson scheme is used to model blood flow in the presence of a ternary hybrid nanofluid (Au-CuO-GO/blood) within the arterial domain. The findings shed light on the complex interactions involving stenosis, MHD flow, aneurysms, Joule heating and the ternary hybrid nanofluid. The results indicate a decrease in the wall shear stress (WSS) profile with increasing stenosis size. The MHD effects are observed to influence the velocity distribution, as the velocity profile exhibits a declining nature with an increase in the Hartmann number. In addition, entropy generation increases with an enhancement in the Brinkmann number. This research contributes to understanding fluid dynamics and heat transfer mechanisms in bifurcated arteries, providing valuable insights for diagnosing and treating cardiovascular diseases.

Details

International Journal of Numerical Methods for Heat & Fluid Flow, vol. 34 no. 2
Type: Research Article
ISSN: 0961-5539

Keywords

Article
Publication date: 24 November 2023

Samrat Hansda, Anirban Chattopadhyay and Swapan K. Pandit

This study comprehensively examines entropy generation and thermosolutal performance of a ternary hybrid nanofluid in a partially active porous cabinet. The purpose of this study…

Abstract

Purpose

This study comprehensively examines entropy generation and thermosolutal performance of a ternary hybrid nanofluid in a partially active porous cabinet. The purpose of this study is to comprehend the intricate phenomena of double diffusion by investigating the dispersion behavior of Al2O3, CuO, and Ag nanoparticles in water.

Design/methodology/approach

The cabinet design consists of two horizontal walls and two curved walls with the lower border divided into a heated and concentrated region of length b and the remaining sections are adiabatic. The vertical borders are cold and low concentration, while the upper border is adiabatic. Two cavity configurations such as convex and concave are considered. A uniform porous medium is taken within the ternary hybrid nanofluid. This has been characterized by the Brinkman-extended Darcy model. Thermosolutal phenomena are governed by the Navier-Stokes equations and are solved by adopting a higher-order compact scheme.

Findings

The present study focuses on exploring the influence of several well-defined parameters, including Rayleigh number, Darcy number, Lewis number, Buoyancy ratio number, nanoparticle volume concentration and heater size. The results indicate that the ternary hybrid nanofluid outperforms both the mono and hybrid nanofluids in all considered aspects.

Originality/value

This study brings forth a significant contribution by uncovering novel flow features that have previously remained unexplored. By addressing a well-defined problem, the work provides valuable insights into the enhancement of thermal transport, with direct implications for diverse engineering devices such as solar collectors, heat exchangers and microelectronics.

Details

International Journal of Numerical Methods for Heat & Fluid Flow, vol. 34 no. 2
Type: Research Article
ISSN: 0961-5539

Keywords

Article
Publication date: 10 November 2022

Xinxing Yin, Juan Chen, Wenxin Yu, Yuan Huang, Wenxiang Wei, Xinjie Xiang and Hao Yan

This study aims to improve the complexity of chaotic systems and the security accuracy of information encrypted transmission. Applying five-dimensional memristive Hopfield neural…

Abstract

Purpose

This study aims to improve the complexity of chaotic systems and the security accuracy of information encrypted transmission. Applying five-dimensional memristive Hopfield neural network (5D-HNN) to secure communication will greatly improve the confidentiality of signal transmission and greatly enhance the anticracking ability of the system.

Design/methodology/approach

Chaos masking: Chaos masking is the process of superimposing a message signal directly into a chaotic signal and masking the signal using the randomness of the chaotic output. Synchronous coupling: The coupled synchronization method first replicates the drive system to get the response system, and then adds the appropriate coupling term between the drive The synchronization error and the coupling term of the system will eventually converge to zero with time. The synchronization error and coupling term of the system will eventually converge to zero over time.

Findings

A 5D memristive neural network is obtained based on the original four-dimensional memristive neural network through the feedback control method. The system has five equations and contains infinite balance points. Compared with other systems, the 5D-HNN has rich dynamic behaviors, and the most unique feature is that it has multistable characteristics. First, its dissipation property, equilibrium point stability, bifurcation graph and Lyapunov exponent spectrum are analyzed to verify its chaotic state, and the system characteristics are more complex. Different dynamic characteristics can be obtained by adjusting the parameter k.

Originality/value

A new 5D memristive HNN is proposed and used in the secure communication

Details

Circuit World, vol. 50 no. 1
Type: Research Article
ISSN: 0305-6120

Keywords

Open Access
Article
Publication date: 8 August 2022

Gopal Shruthi and Murugan Suvinthra

The purpose of this paper is to study large deviations for the solution processes of a stochastic equation incorporated with the effects of nonlocal condition.

Abstract

Purpose

The purpose of this paper is to study large deviations for the solution processes of a stochastic equation incorporated with the effects of nonlocal condition.

Design/methodology/approach

A weak convergence approach is adopted to establish the Laplace principle, which is same as the large deviation principle in a Polish space. The sufficient condition for any family of solutions to satisfy the Laplace principle formulated by Budhiraja and Dupuis is used in this work.

Findings

Freidlin–Wentzell type large deviation principle holds good for the solution processes of the stochastic functional integral equation with nonlocal condition.

Originality/value

The asymptotic exponential decay rate of the solution processes of the considered equation towards its deterministic counterpart can be estimated using the established results.

Details

Arab Journal of Mathematical Sciences, vol. 30 no. 1
Type: Research Article
ISSN: 1319-5166

Keywords

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