Numerical Solution of Fractional Black-Scholes Equation by Using the Multivariate Padé Approximation
Acta Physica Polonica A, 2017 In this study, a new application of multivariate Pade approximation method has been used for solving European vanilla call option pricing problem. Pade polynomials have occurred for the fractional Black-Scholes equation, according to the relations of "smaller than", or "greater than", between stock price and exercise price of the option.
Özdemir, Necati, Yavuz, Mehmet
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Fractional Order Stochastic Differential Equation with Application in European Option Pricing
Discrete Dynamics in Nature and Society, 2014 Memory effect is an important phenomenon in financial systems, and a number of research works have been carried out to study the long memory in the financial markets.
Qing Li +3 more
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A New Homotopy Transformation Method for Solving the Fuzzy Fractional Black–Scholes European Option Pricing Equations under the Concept of Granular Differentiability [PDF]
, 2022 Jianke Zhang, Yueyue Wang, Sumei Zhang
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RANDOM WALKS AND FRACTAL STRUCTURES IN AGRICULTURAL COMMODITY FUTURES PRICES [PDF]
This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are ...
Turvey, Calum G.
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A NEW MODEL FOR STOCK PRICE MOVEMENTS [PDF]
This paper presents a new alternative diffusion model for asset price movements. In contrast to the popular approach of Brownian Motion it proposes Deterministic Diffusion for the modelling of stock price movements.
Guido VENIER
core
Journal of Inequalities and ApplicationsIn this paper, an interior penalty method is proposed to solve a parabolic complementarity problem involving fractional Black–Scholes operator arising in pricing American options under a geometric Lévy process.
Yarui Duan +3 more
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On the analysis of Black-Scholes equation for European call option involving a fractional order with generalized two dimensional differential transform method [PDF]
, 2021 Sunday Emmanuel Fadugba +1 more
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A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model. [PDF]
Comput Econ, 2023 Kharrat M, Arfaoui H.
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Quantum effects in an expanded Black-Scholes model. [PDF]
Eur Phys J B, 2022 Bhatnagar A, Vvedensky DD.
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