Results 11 to 20 of about 3,326,697 (175)

A New Solution to the Fractional Black–Scholes Equation Using the Daftardar-Gejji Method

Mathematics, 2023
The main objective of this study is to determine the existence and uniqueness of solutions to the fractional Black–Scholes equation. The solution to the fractional Black–Scholes equation is expressed as an infinite series of converging Mittag-Leffler ...
Agus Sugandha, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +2 more sources

Analytical solution of time-fractional N-dimensional Black-Scholes equation using LHPM [PDF]

Ratio Mathematica, 2023
A famous Black-Scholes differential equation is used for pricing options in financial world which represents financial derivatives more significantly. Option is one of the crucial financial derivatives. Sawangtong P., Trachoo K., Sawangtong W.
Sanjay Ghevariya, CHETANBHAI PATEL
doaj   +2 more sources

Forecasting the behaviour of fractional Black-Scholes option pricing equation by laplace perturbation iteration algorithm

Alexandria Engineering Journal, 2023
Financial derivatives plays a major role in all financial deals these days. Black–Scholes option pricing model gives a risk free analysis for investing in options. In the current work, a method called the Laplace Perturbation Iteration Algorithm is being
Fareeha Sami Khan, Mariam Sultana, Muhammad Khalid, Faheem Zaidi, Kamsing Nonlaopon   +4 more
doaj   +2 more sources

The Approximate Analytic Solution of the Time-Fractional Black-Scholes Equation with a European Option Based on the Katugampola Fractional Derivative

Mathematics, 2021
In the finance market, it is well known that the price change of the underlying fractal transmission system can be modeled with the Black-Scholes equation.
Sivaporn Ampun, Panumart Sawangtong
doaj   +2 more sources

Galerkin-finite difference method for fractional parabolic partial differential equations [PDF]

MethodsX
The fractional form of the classical diffusion equation embodies the super-diffusive and sub-diffusive characteristics of any flow, depending on the fractional order. This study aims to approximate the solution of parabolic partial differential equations
Md. Shorif Hossan, Trishna Datta, Md. Shafiqul Islam   +2 more
doaj   +2 more sources

Novel Approaches for Getting the Solution of the Fractional Black–Scholes Equation Described by Mittag-Leffler Fractional Derivative

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, Babacar Sène, Seydou Nourou Ndiaye, Awa Traoré   +3 more
doaj   +2 more sources

Nonuniform Finite Difference Scheme for the Three-Dimensional Time-Fractional Black–Scholes Equation

Journal of Function Spaces, 2021
In this study, we present an accurate and efficient nonuniform finite difference method for the three-dimensional (3D) time-fractional Black–Scholes (BS) equation.
Sangkwon Kim, Chaeyoung Lee, Wonjin Lee, Soobin Kwak, Darae Jeong, Junseok Kim   +5 more
doaj   +2 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

Using a Mix of Finite Difference Methods and Fractional Differential Transformations to Solve Modified Black–Scholes Fractional Equations

Mathematics
This 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, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +2 more sources

A hybrid Chelyshkov wavelet-finite differences method for time-fractional black-Scholes equation [PDF]

Journal of Mahani Mathematical Research
In this paper, a hybrid method for solving time-fractional Black-Scholes equation is introduced for option pricing. The presented method is based on time and space discretization.
Seyyed Amjad Samareh Hashemi, Habibollah Saeedi, Ali Foroush Bastani   +2 more
doaj   +3 more sources