Results 11 to 20 of about 4,852 (158)
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 +5 more
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Fractal and Fractional, 2023 In this paper, we consider an approximation of the Caputo fractional derivative and its asymptotic expansion formula, whose generating function is the polylogarithm function.
Yuri Dimitrov +2 more
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Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform [PDF]
, 2013 The homotopy perturbation method, Sumudu transform, and He’s polynomials are combined to obtain the solution of fractional Black-Scholes equation. The fractional derivative is considered in Caputo sense.
Elbeleze, Asma Ali +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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On a Multigrid Method for Tempered Fractional Diffusion Equations
Fractal and Fractional, 2021 In this paper, we develop a suitable multigrid iterative solution method for the numerical solution of second- and third-order discrete schemes for the tempered fractional diffusion equation.
Linlin Bu, Cornelis W. Oosterlee
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Fractional variational iteration method and its application to fractional partial differential equation [PDF]
, 2013 We use the fractional variational iteration method (FVIM) with modified Riemann-Liouville derivative to solve some equations in fluid mechanics and in financial models. The fractional derivatives are described in Riemann-Liouville sense.
Elbeleze, Asma Ali +2 more
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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
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Investigation of Higher Order Localized Approximations for a Fractional Pricing Model in Finance
Mathematics, 2023 In this work, by considering spatial uniform meshes and stencils having five adjacent discretization nodes, we furnish a numerical scheme to solve the time-fractional Black–Scholes (partial differential equation) PDE to price financial options under the ...
Malik Zaka Ullah +3 more
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Hedging in fractional Black-Scholes model with transaction costs [PDF]
, 2017 We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging portfolio in terms of the recently discovered explicit ...
Shokrollahi, Foad, Sottinen, Tommi
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Conditional-Mean Hedging Under Transaction Costs in Gaussian Models [PDF]
, 2017 We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian motions.
Sottinen, Tommi, Viitasaari, Lauri
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