Results 151 to 160 of about 4,903 (187)

Solving fractional Black–Scholes equation by using Boubaker functions

Mathematical Methods in the Applied Sciences, 2021
The fractional Black–Scholes pricing model widely appears in financial markets. This paper presents the special class of operational matrix to approximate the solution of fractional Black–Scholes equation based on the Boubaker polynomial functions. The Boubaker operational matrix of the fractional derivative converts the model to obtain the numerical ...
A A Khajehnasiri, Mostafa Safavi
exaly   +3 more sources

Numerical approximation of a time-fractional Black–Scholes equation

Computers and Mathematics With Applications, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhongdi Cen, Anbo Le
exaly   +3 more sources

A New Version of Black–Scholes Equation Presented by Time-Fractional Derivative

Iranian Journal of Science and Technology, Transaction A: Science, 2017
In this article, a new time-fractional-order Black–Scholes equation has been derived. In this derivation, the asset price satisfies in a fractional-order stochastic differential equation. Here, the effect of trend memory in financial pricing is considered.
G H Erjaee
exaly   +4 more sources

Numerical solution of time-fractional Black–Scholes equation

Computational and Applied Mathematics, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Miglena N Koleva, Lubin G Vulkov
exaly   +3 more sources

A novel numerical scheme for a time fractional Black–Scholes equation

Journal of Applied Mathematics and Computing, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mianfu She, Lili Li, Renxuan Tang, Dongfang Li   +3 more
openaire   +2 more sources

Fractional model and solution for the Black‐Scholes equation

Mathematical Methods in the Applied Sciences, 2017
This work presents a new model of the fractional Black‐Scholes equation by using the right fractional derivatives to model the terminal value problem. Through nondimensionalization and variable replacements, we convert the terminal value problem into an initial value problem for a fractional convection diffusion equation.
Jun‐Sheng Duan, Lei Lu, Lian Chen, Yu‐Lian An   +3 more
openaire   +2 more sources

Multiscale estimation of processes related to the fractional Black-Scholes equation

Computational Statistics, 2003
The authors propose the following model for the log-price: \(R_\alpha(t)=D_t^\alpha X_t=\sigma_t D_t^\alpha B(\lambda(t))\), where \(D_t^\alpha\) is the Riemann-Liouville fractional derivative of order \(\alpha\), \(B\) is the classical Brownian motion, and \(\sigma_t\), \(\lambda\) are some nonrandom functions.
Ricardo Fernández-Pascual, María Dolores Ruiz-Medina, José Miguel Angulo   +2 more
openaire   +1 more source

The stability and convergence of the numerical computation for the temporal fractional Black-Scholes equation

2021
Summary: In this paper, the temporal fractional Black-Scholes model (TFBSM) is discussed in the limited specific domain which the time derivative of this template is the Caputo fractional function. The value variance of the associated fractal transmission method was applied to forecast TFBSM.
Aghdam, Yones Esmaeelzade, Bakhshandeh, Masod, Mesgarani, Hamid   +2 more
openaire   +2 more sources