Deadline for manuscript submissions: 31 August 2025

 

Special Issue Editors

 

Dr. Alexey Mikhaylov Website  E-Mail: alexeyfa@ya.ru
Guest Editor
Financial University under the Government of the Russian Federation, Russian Federation
Interests: energy, economics, econometrics and finance, business, management and accounting, environmental science, materials science, mathematics, computer science, neuroscience

   

Special Issue Information

 

This paper proposes a dynamic Black-Scholes model for two assets using a neural network approach. The energy option price is obtained by the Black-Scholes partial differential equation using the variational iteration method (VIM) and variation of parameters method (VPM). Both are semi-analytical techniques involving Lagrange multiplier which is a potent tool to reduce the computational work. The paper utilizes a dataset of VIM. It employs the design solver Levenberg Marquardt Approach with Artificial Back Propagated Neural Networks (LMA-ABPNNs) to examine the proposed Modified Black Scholes Model (MBSM). The performance plots, error histogram presentation, regression measures and mean square errors validate the effectiveness, accuracy, and reliability of the proposed designed neural networks. For a better understanding of the presented system, a graphical and tabular interpretation is presented via Maple software showing the superiority of the proposed methodology.

 

Keywords:

lack Scholes model

Variational iteration method

Variation of parameters method and Lagrange multiplier

Artificial Neural Networks

Levenberg-Marquardt Approach

 

 

Published Papers