Results 171 to 180 of about 5,049 (220)

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, M. Safavi
openaire   +2 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.
Koleva, Miglena N., Vulkov, Lubin G.
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   +3 more
openaire   +2 more sources

Home - About - Disclaimer - Privacy