Results 11 to 20 of about 228 (169)
A robust numerical solution to a time-fractional Black–Scholes equation [PDF]
Advances in Difference Equations, 2021 Dividend paying European stock options are modeled using a time-fractional Black–Scholes (tfBS) partial differential equation (PDE). The underlying fractional stochastic dynamics explored in this work are appropriate for capturing market fluctuations in ...
S. M. Nuugulu, F. Gideon, K. C. Patidar
doaj +3 more sources
Novel ANN Method for Solving Ordinary and Time-Fractional Black–Scholes Equation [PDF]
Complexity, 2021 The main aim of this study is to introduce a 2-layered artificial neural network (ANN) for solving the Black–Scholes partial differential equation (PDE) of either fractional or ordinary orders.
Saeed Bajalan, Nastaran Bajalan
doaj +3 more sources
A New Solution to the Fractional Black–Scholes Equation Using the Daftardar-Gejji Method
Mathematics, 2023 The main objective of this study is to determine the existence and uniqueness of solutions to the fractional Black–Scholes equation. The solution to the fractional Black–Scholes equation is expressed as an infinite series of converging Mittag-Leffler ...
Agus Sugandha +3 more
doaj +3 more sources
Mathematics, 2021 In the finance market, it is well known that the price change of the underlying fractal transmission system can be modeled with the Black-Scholes equation.
Sivaporn Ampun, Panumart Sawangtong
doaj +3 more sources
An adaptive moving mesh method for a time-fractional Black–Scholes equation [PDF]
Advances in Difference Equations, 2019 In this paper we study the numerical method for a time-fractional Black–Scholes equation, which is used for option pricing. The solution of the fractional-order differential equation may be singular near certain domain boundaries, which leads to ...
Jian Huang, Zhongdi Cen, Jialiang Zhao
doaj +3 more sources
On the solution of two-dimensional fractional Black–Scholes equation for European put option [PDF]
Advances in Difference Equations, 2020 The purpose of this paper was to investigate the dynamics of the option pricing in the market through the two-dimensional time fractional-order Black–Scholes equation for a European put option.
Din Prathumwan, Kamonchat Trachoo
doaj +2 more sources
Galerkin-finite difference method for fractional parabolic partial differential equations. [PDF]
MethodsXThe fractional form of the classical diffusion equation embodies the super-diffusive and sub-diffusive characteristics of any flow, depending on the fractional order. This study aims to approximate the solution of parabolic partial differential equations
Hossan MS, Datta T, Islam MS.
europepmc +2 more sources
Solving Black–Scholes equations using fractional generalized homotopy analysis method [PDF]
Comput Appl Math, 2020 This paper aims to solve the Black–Scholes (B–S) model for the European options pricing problem using a hybrid method called fractional generalized homotopy analysis method (FGHAM). The convergence region of the B–S model solutions are clearly identified using h-curve and the closed form series solutions are produced using FGHAM.
Saratha S +3 more
europepmc +4 more sources
The Numerical Solution of Fractional Black-Scholes-Schrodinger Equation Using the RBFs Method [PDF]
Advances in Mathematical Physics, 2020 In this paper, radial basis functions (RBFs) method was used to solve a fractional Black-Scholes-Schrodinger equation in an option pricing of financial problems. The RBFs method is applied in discretizing a spatial derivative process.
Naravadee Nualsaard +2 more
doaj +3 more sources
A New Version of Black–Scholes Equation Presented by Time-Fractional Derivative
Iranian Journal of Science and Technology, Transactions 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.
FarhadiA., SalehiM., ErjaeeG.H.
openaire +5 more sources