Results 191 to 200 of about 402,189 (237)

Numerical Solution of the Time-Fractional Black-Scholes Equation and Its Application to European Option Pricing

CAUCHY
The classical Black-Scholes model is widely used in option pricing but relies on idealized assumptions such as constant volatility and memoryless market dynamics, which limit its accuracy in capturing real-world financial behavior.
Elza Rahma Dihna, E. Rusyaman, S. Sukono
semanticscholar   +1 more source

Modified Cubic B-spline Based Differential Quadrature Methods for Time-fractional Black-Scholes Equation

arXiv.org
The time-fractional Black-Scholes equation (TFBSE) is intended to price the options for which the underlying price fluctuates within a correlated fractal transmission system. Although the TFBSE is an influential approach for grasping the long-term memory
V. Nizamudheen, TK Riyasudheen, N. Asharaf, T. Shefeeq   +3 more
semanticscholar   +1 more source

A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options

, 2020
This paper is concerned with the design of a high order numerical approach based on a uniform mesh for efficient numerical solution of time-fractional Black-Scholes equation, governing European options.
P. Roul
semanticscholar   +1 more source

Lie symmetry, exact solutions and conservation laws of time fractional Black–Scholes equation derived by the fractional Brownian motion

Journal of Applied Analysis
The Black–Scholes equation is an important analytical tool for option pricing in finance. This paper discusses the Lie symmetry analysis of the time fractional Black–Scholes equation derived by the fractional Brownian motion.
Jicheng Yu
semanticscholar   +1 more source

A wavelet collocation method for fractional Black–Scholes equations by subdiffusive model

Numerical Methods for Partial Differential Equations
In this investigation, we propose a numerical method based on the fractional‐order generalized Taylor wavelets (FGTW) for option pricing and the fractional Black–Scholes equations.
Davood Damircheli, M. Razzaghi
semanticscholar   +1 more source

A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance

Numerical Algorithms, 2023
Jaspreet Kaur, S. Natesan
semanticscholar   +1 more source

An Efficient Numerical Scheme to Approach the Time Fractional Black–Scholes Model Using Orthogonal Gegenbauer Polynomials

Computational Economics, 2023
Y. E. Aghdam, H. Mesgarani, A. Amin, J. F. Gómez‐Aguilar   +3 more
semanticscholar   +1 more source

Tikhonov regularization for simultaneous inversion of initial value and source term of a time‐fractional Black‐Scholes equation

Mathematical methods in the applied sciences
This paper studies simultaneous inversion of initial value and source term of a time‐fractional Black‐Scholes equation. This problem is ill‐posed, and we use Tikhonov regularization method to solve it.
Hanghang Wu, Hongqi Yang
semanticscholar   +1 more source

A study on the fractional Black–Scholes option pricing model of the financial market via the Yang-Abdel-Aty-Cattani operator

Engineering computations
PurposeFinancial mathematics is one of the most rapidly evolving fields in today’s banking and cooperative industries. In the current study, a new fractional differentiation operator with a nonsingular kernel based on the Robotnov fractional exponential ...
Surath Ghosh
semanticscholar   +1 more source

A compact finite difference scheme for solving fractional Black-Scholes option pricing model

Journal of Inequalities and Applications
Yuelong Feng, Xindong Zhang, Yan Chen, Leilei Wei   +3 more
semanticscholar   +1 more source