Results 161 to 170 of about 4,903 (187)

Numerical computation of fractional Black–Scholes equation arising in financial market

Egyptian Journal of Basic and Applied Sciences, 2014
AbstractThe aim of present paper is to present a numerical algorithm for time-fractional Black–Scholes equation with boundary condition for a European option problem by using homotopy perturbation method and homotopy analysis method. The fractional derivative is described in the Caputo sense.
Sunil Kumar, Devendra Kumar, Jagdev Singh   +2 more
exaly   +2 more sources

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Black–Scholes option pricing equations described by the Caputo generalized fractional derivative

Chaos, Solitons and Fractals, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ndolane Sene
exaly   +2 more sources

A space-time spectral method for time-fractional Black-Scholes equation

Applied Numerical Mathematics, 2021
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fawang Liu, Minling Zheng, Võ Anh
exaly   +3 more sources

Fractional Black–Scholes equation

International Journal of Financial Engineering, 2017
In this paper, it has been shown that the combined use of exponential operators and special functions provides a powerful tool to solve certain class of generalized space fractional Laguerre heat equation. It is shown that exponential operators are powerful and effective method for solving certain singular integral equations and space fractional Black–
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Fractional Fokker-Planck Equation and Black-Scholes Formula in Composite-Diffusive Regime

Journal of Statistical Physics, 2011
The authors consider a generalization of the Black-Scholes model driven by anomalous diffusion. In particular, they consider what they call a composite-diffusive fractional Brownian motion driven by anomalous diffusion as a model of asset prices and discuss the corresponding fractional Fokker-Planck equation and Black-Scholes formula.
Wei-Yuan Qiu, Fu-Yao Ren
exaly   +2 more sources

An efficient wavelet method for the time‐fractional Black–Scholes equations

Mathematical Methods in the Applied Sciences
A European option is one of the common types of options in financial markets, which can be modeled by a time‐fractional parabolic PDE, known as the time‐fractional Black–Scholes equation (BSE). In this article, we propose an effective numerical scheme by applying Müntz–Legendre wavelets (MLW) for the solution of the given BSE.
Boonrod Yuttanan, Mohsen Razzaghi, Thieu N. Vo   +2 more
openaire   +1 more source

A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation

2017
We develop a finite difference method (FDM) for a 2D fractional Black-Scholes equation arising in the optimal control problem of pricing European options on two assets under two independent geometric Levy processes. We establish the convergence of the method by showing that the FDM is consistent, stable and monotone.
Wen Chen 0014, Song Wang 0004
openaire   +1 more source

Lie symmetry analysis and conservation laws for the time fractional Black–Scholes equation

International Journal of Geometric Methods in Modern Physics, 2019
In this paper, the Lie symmetry algebra admitted by the time fractional Black–Scholes equation is obtained by using the Lie group method. The constructed symmetry generators are investigated to construct a family of exact solutions and conservation laws for the studied equation.
Youness Chatibi, El Hassan El Kinani, Abdelaziz Ouhadan   +2 more
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On the numerical solution of time fractional Black-Scholes equation

International Journal of Computer Mathematics, 2021
Maryam Sarboland, Azim Aminataei
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