Results 151 to 160 of about 228 (169)

Numerical Solutions for Fractional Black-Scholes Option Pricing Equation

2016
In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.
Akrami, M.H., Erjaee, G.H.
openaire   +1 more source

A note on the fractional Black-Scholes equation

2014
Математическое моделирование и математическая ...
Kemzuraite, E., Miskinis, P.
openaire   +1 more source

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

Numerical Methods for Partial Differential Equations
AbstractIn 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. This model studies option pricing when the underlying asset has subdiffusive dynamics.
Davood Damircheli, Mohsen Razzaghi
openaire   +1 more source

On the numerical solution of time fractional Black-Scholes equation

International Journal of Computer Mathematics, 2021
Maryam Sarboland, Azim Aminataei
openaire   +1 more source

Fractional Black - Scholes Equation described by the Conformable Fractional Derivative with Three Different Methods

International Journal of Mathematics in Operational Research, 2023
C. Vijayan, R. Manimaran, N. Racshitha
openaire   +1 more source

Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility

Stochastics and Stochastic Reports, 2004
We modify the Hu-Oksendal and Elliot-van der Hoek approach to arbitrage-free financial markets driven by a fractional Brownian motion that is defined on a white noise space. We deduce and solve a Black–Scholes fractional equation for constant volatility and outline the corresponding equation with stochastic volatility.
openaire   +1 more source

Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation

Chaos, Solitons and Fractals, 2020
Sunday Fadugba
exaly  

A 2nd-order ADI finite difference method for a 2D fractional Black–Scholes equation governing European two asset option pricing

Mathematics and Computers in Simulation, 2020
Song Wang, Wen Chen
exaly  

Block-pulse operational matrix method for solving fractional Black-Scholes equation

Journal of Economic Studies, 2017
Farshid Mehrdoust, Amir Hosein Refahi Sheikhani   +1 more
exaly  

Fractional model and solution for the Black‐Scholes equation

Mathematical Methods in the Applied Sciences, 2018
Jun-Sheng Duan
exaly