Results 31 to 40 of about 5,049 (220)

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, Endang Rusyaman, Sukono, Ema Carnia   +3 more
doaj   +1 more source

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

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
openalex   +2 more sources

An Analysis of the Fractional-Order Option Pricing Problem for Two Assets by the Generalized Laplace Variational Iteration Approach

Fractal and Fractional, 2022
An option is the right to buy or sell a good at a predetermined price in the future. For customers or financial companies, knowing an option’s pricing is crucial.
Sivaporn Ampun, Panumart Sawangtong, Wannika Sawangtong   +2 more
doaj   +1 more source

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, Sai Sundara Krishnan G, Bagyalakshmi M, Lim C.   +3 more
europepmc   +4 more sources

Generalised class of Time Fractional Black Scholes equation and numerical analysis

Discrete & Continuous Dynamical Systems - S, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rodrigue Gnitchogna Batogna, Abdon Atangana   +1 more
openalex   +4 more sources

Option valuation in markets with finite liquidity under fractional CEV assets [PDF]

Mathematics and Modeling in Finance, 2022
‎The aim of this paper is to numerically price the European double barrier option by calculating the governing fractional Black-Scholes equation in illiquid markets‎.
Azadeh Ghasemifard, Seddigheh Banihashemi, Afshin Babaei   +2 more
doaj   +1 more source

Invariant subspace method for fractional Black-Scholes equations [PDF]

ScienceAsia, 2018
Pisamai Kittipoom
openalex   +2 more sources

Numerical solution of ψ-Hilfer fractional Black–Scholes equations via space–time spectral collocation method

Alexandria Engineering Journal, 2023
Trivially, the time-fractional Black–Scholes (FBS) equation is utilized to describe the behavior of the option pricing in financial markets. This work is intended as an attempt to introduce the ψ-Hilfer fractional Black–Scholes (ψ-HFBS) equation.
F. Mohammadizadeh, S.G. Georgiev, G. Rozza, E. Tohidi, S. Shateyi   +4 more
doaj   +1 more source

The modified homotopy perturbation method and its application to the dynamics of price evolution in Caputo-fractional order Black Scholes model

Beni-Suef University Journal of Basic and Applied Sciences, 2023
Background Following a financial loss in trades due to lack of risk management in previous models from market practitioners, Fisher Black and Myron Scholes visited the academic setting and were able to mathematically develop an option pricing equation ...
Adedapo Ismaila Alaje, Morufu Oyedunsi Olayiwola, Kamilu Adewale Adedokun, Joseph Adeleke Adedeji, Asimiyu Olamilekan Oladapo, Yunus Olanrewaju Akeem   +5 more
doaj   +1 more source

Homotopy perturbation method for fractional black-scholes european option pricing equations using Sumudu transform [PDF]

, 2013
The homotopy perturbation method, Sumudu transform, and He’s polynomials are combined to obtain the solution of fractional Black-Scholes equation. The fractional derivative is considered in Caputo sense.
Elbeleze, Asma Ali, Kilicman, Adem, M. Taib, Bachok   +2 more
core   +3 more sources