Fractional black-scholes equation

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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.
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A note on the fractional Black-Scholes equation

2014
Математическое моделирование и математическая ...
Kemzuraite, E., Miskinis, P.
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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.
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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
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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 Emmanuel 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
Wen Chen, Song Wang
exaly

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

Journal of Economic Studies, 2017
Farshid Mehrdoust, A H Refahi Sheikhani
exaly

Fractional model and solution for the Black‐Scholes equation

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

Continuous time Black–Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime

Physica A: Statistical Mechanics and Its Applications, 2012
Jun Wang, Wei-Yuan Qiu, Fu-Yao Ren
exaly