Coupled transform method for time-space fractional Black-Scholes option pricing model [PDF]
Alexandria Engineering Journal, 2020 This paper presents analytical solutions of a time-space-fractional Black-Scholes model (TSFBSM) using a coupled technique referred to as Fractional Complex Transform (FCT) with the aid of a modified differential transform method.
S.O. Edeki +3 more
doaj +5 more sources
Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method [PDF]
Abstract and Applied Analysis, 2013 This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative.
Lina Song, Weiguo Wang
doaj +2 more sources
Shadow Price Approximation for the Fractional Black Scholes Model [PDF]
International Journal of Mathematics and Mathematical Sciences, 2022 In this work, we used Tran Hung Thao’s approximation of fractional Brownian motion to approximate the shadow price of the fractional Black Scholes model.
Dolemweogo Sibiri Narcisse +2 more
doaj +2 more sources
Using a Mix of Finite Difference Methods and Fractional Differential Transformations to Solve Modified Black–Scholes Fractional Equations [PDF]
MathematicsThis paper discusses finding solutions to the modified Fractional Black–Scholes equation. As is well known, the options theory is beneficial in the stock market.
Agus Sugandha +3 more
doaj +2 more sources
Novel Approaches for Getting the Solution of the Fractional Black–Scholes Equation Described by Mittag-Leffler Fractional Derivative [PDF]
Discrete Dynamics in Nature and Society, 2020 The value of an option plays an important role in finance. In this paper, we use the Black–Scholes equation, which is described by the nonsingular fractional-order derivative, to determine the value of an option. We propose both a numerical scheme and an
Ndolane Sene +3 more
doaj +2 more sources
Fractional Black-Scholes Model and Technical Analysis of Stock Price [PDF]
Journal of Applied Mathematics, 2013 In the stock market, some popular technical analysis indicators (e.g., Bollinger bands, RSI, ROC, etc.) are widely used to forecast the direction of prices.
Song Xu, Yujiao Yang
doaj +2 more sources
Fractal and Fractional, 2022 The Black–Scholes option pricing model is one of the most significant achievements in modern investment science. However, many factors are constantly fluctuating in the actual financial market option pricing, such as risk-free interest rate, stock price,
Jianke Zhang, Yueyue Wang, Sumei Zhang
doaj +1 more source
Solving Black–Scholes equations using fractional generalized homotopy analysis method [PDF]
Comput Appl Math, 2020 Solving Black–Scholes equations using fractional generalized homotopy analysis ...
Saratha S +3 more
europepmc +1 more source
Robust option replication for a Black-Scholes model extended with nondeterministic trends [PDF]
, 2012 Statistical analysis on various stocks reveals long range dependence behavior of the stock prices that is not consistent with the classical Black and Scholes model.
Schoenmakers, John G. M. +1 more
core +1 more source
Arbitrage in the Hermite Binomial Market
Fractal and Fractional, 2022 Much attention has been paid to the arbitrage opportunities in the Black–Scholes model when it is driven by fractional Brownian motions. It is natural to ask whether there exists arbitrage or not when we focus on other fractional processes, such as the ...
Xuwen Cheng, Yiran Zheng, Xili Zhang
doaj +1 more source