Results 21 to 30 of about 2,314 (173)
Integration of Fractional Order Black-Scholes Merton with Neural Network [PDF]
, 2023 This study enhances option pricing by presenting unique pricing model fractional order Black-Scholes-Merton (FOBSM) which is based on the Black-Scholes-Merton (BSM) model.
Kundu, Goutam Kr. +3 more
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Numerical solution of the time fractional Black–Scholes model governing European options [PDF]
, 2016 When considering the price change of the underlying fractal transmission system, a fractional Black–Scholes(B-S) model with an αα-order time fractional derivative is derived.
Turner, I., Yang, Q., Zhang, H., Liu, F.
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Fractional Black–Scholes equation [PDF]
, 2017 In 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.
A. Aghili
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Lie symmetry analysis of a fractional Black-Scholes equation [PDF]
, 2019 In 2000, Walter Wyss looked into the fractional version of the Black-Scholes equation for the first time. He gave a solution of the fractional Black-Scholes equation by using the Greens function [14].
O'Hara, John G +3 more
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Solution of Black-Scholes Fractional Partial Differential Equation with two Assets by Aboodh Decomposition Method. [PDF]
, 2019 In this paper, we present the solution of Black-Scholes fractional partial differential equation with two assets in the Caputo fractional derivative sense by the Aboodh decomposition method.
Alfaqeih, S. +3 more
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Fractional Black-Scholes model with regularized Prabhakar derivative [PDF]
, 2017 We introduce a fractional type Black-Scholes model in European options including the regularized Prabhakar derivative. We apply the reconstruction of variational iteration method to get the approximate analytical solutions for some models of ...
Alireza Ansari +3 more
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Alexandria Engineering Journal, 2023 Trivially, the time-fractional Black–Scholes (FBS) equation is utilized to describe the behavior of the option pricing in financial markets. This work is intended as an attempt to introduce the ψ-Hilfer fractional Black–Scholes (ψ-HFBS) equation.
F. Mohammadizadeh +4 more
doaj +1 more source
Fractal and Fractional, 2023 After the discovery of the fractal structures of financial markets, enormous effort has been dedicated to finding accurate and stable numerical schemes to solve fractional Black-Scholes partial differential equations.
Samuel Megameno Nuugulu +2 more
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On the solution of two-dimensional fractional Black–Scholes equation for European put option
Advances in Difference Equations, 2020 The purpose of this paper was to investigate the dynamics of the option pricing in the market through the two-dimensional time fractional-order Black–Scholes equation for a European put option.
Din Prathumwan, Kamonchat Trachoo
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Numerical Solution of Fractional Black-Scholes Equation by Using the Multivariate Padé Approximation [PDF]
, 2017 In this study, a new application of multivariate Padé approximation method has been used for solving European vanilla call option pricing problem. Padé polynomials have occurred for the fractional Black-Scholes equation, according to the relations of ...
N. Özdemir +3 more
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