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Fractional Black–Scholes equation
International Journal of Financial Engineering, 2017In this paper, it has been shown that the combined use of exponential operators and special functions provides a powerful tool to solve certain class of generalized space fractional Laguerre heat equation. It is shown that exponential operators are powerful and effective method for solving certain singular integral equations and space fractional Black–
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The homotopy perturbation method for the Black–Scholes equation
Journal of Statistical Computation and Simulation, 2009The homotopy perturbation method is designed to obtain a quick and accurate solution to the Black–Scholes equation and boundary conditions for a European option pricing problem. The problem of pricing a European option can be cast a partial differential equation.
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The Black-Scholes Differential Equation
2002Having used arbitrage considerations to derive various properties of derivatives, in particular of option prices (upper and lower bounds, parities, etc.), we now demonstrate how such arbitrage arguments, with the help of results from stochastic analysis, namely Ito’s formula 3.18, can be used to derive the famous Black-Scholes equation.
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On exact null controllability of Black-Scholes equation
Kybernetika, 2008Summary: In this paper we discuss the exact null controllability of linear as well as nonlinear Black-Scholes equation when both the stock volatility and risk-free interest rate influence the stock price but they are not known with certainty while the control is distributed over a subdomain. The proof of the linear problem relies on a Carleman estimate
Kumarasamy Sakthivel +3 more
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Solving fractional Black–Scholes equation by using Boubaker functions
Mathematical Methods in the Applied Sciences, 2021Amirahmad Khajehnasiri, Mostafa Safavi
exaly
The Black–Scholes equation in finance: Quantum mechanical approaches
Physica A: Statistical Mechanics and Its Applications, 2023Özlem Yeşiltaş
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Symmetry reduction and exact solutions of the non-linear Black–Scholes equation
Communications in Nonlinear Science and Numerical Simulation, 2018Sergiĭ Kovalenko
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Numerical computation of fractional Black–Scholes equation arising in financial market
Egyptian Journal of Basic and Applied Sciences, 2014Sunil Kumar +2 more
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