A novel numerical scheme for a time fractional Black–Scholes equation
Journal of Applied Mathematics and Computing, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
She, Mianfu +3 more
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Numerical approximation of a time-fractional Black–Scholes equation
Computers & Mathematics with Applications, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cen, Zhongdi +3 more
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A space-time spectral method for time-fractional Black-Scholes equation
Applied Numerical Mathematics, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
An, Xingyu +4 more
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Numerical Solutions for Fractional Black-Scholes Option Pricing Equation
2016In 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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Black–Scholes option pricing equations described by the Caputo generalized fractional derivative
Chaos, Solitons & Fractals, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fall, Aliou Niang +2 more
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Lie symmetry analysis and exact solutions of time fractional Black–Scholes equation
International Journal of Financial Engineering, 2022The Black–Scholes equation is an important analytical tool for option pricing in finance. This paper discusses the constructive methods of exact solutions to time fractional Black–Scholes equation. By constructing one-parameter Lie symmetry transformations and their corresponding group generators, time fractional Black–Scholes equation is reduced to a
Jicheng Yu, Yuqiang Feng, Xianjia Wang
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Fractional Fokker-Planck Equation and Black-Scholes Formula in Composite-Diffusive Regime
Journal of Statistical Physics, 2011The 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.
Liang, Jin-Rong +5 more
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Block-pulse operational matrix method for solving fractional Black-Scholes equation
Journal of Economic Studies, 2017Purpose The purpose of this paper is to evaluate a European option using the fractional version of the Black-Scholes model. Design/methodology/approach In this paper, the authors employ the block-pulse operational matrix algorithm to approximate the solution of the fractional Black-Scholes equation with the initial condition for a European option ...
Farshid Mehrdoust +3 more
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Multiscale estimation of processes related to the fractional Black-Scholes equation
Computational Statistics, 2003The 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.
Fernández-Pascual, R. +2 more
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A wavelet collocation method for fractional Black–Scholes equations by subdiffusive model
Numerical Methods for Partial Differential EquationsAbstractIn 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
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