Results 11 to 20 of about 157 (124)
Investigation of Higher Order Localized Approximations for a Fractional Pricing Model in Finance
Mathematics, 2023 In this work, by considering spatial uniform meshes and stencils having five adjacent discretization nodes, we furnish a numerical scheme to solve the time-fractional Black–Scholes (partial differential equation) PDE to price financial options under the ...
Malik Zaka Ullah +3 more
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Novel ANN Method for Solving Ordinary and Time-Fractional Black–Scholes Equation
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
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Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method
Abstract and Applied Analysis, 2013 This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative.
Lina Song, Weiguo Wang
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A hybrid Chelyshkov wavelet-finite differences method for time-fractional black-Scholes equation [PDF]
Journal of Mahani Mathematical ResearchIn this paper, a hybrid method for solving time-fractional Black-Scholes equation is introduced for option pricing. The presented method is based on time and space discretization.
Seyyed Amjad Samareh Hashemi +2 more
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Results in Applied Mathematics, 2021 In this paper, we aim at developing improved L1 operator splitting method and spectral method for Black–Scholes differential systems with fractional derivatives in both time and space.
Mustafa Almushaira, Feng Chen, Fei Liu
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An adaptive moving mesh method for a time-fractional Black–Scholes equation
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
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Fractal and Fractional, 2023 In this paper, we are interested in the effective numerical schemes of the time-fractional Black–Scholes equation. We convert the original equation into an equivalent integral-differential equation and then discretize the time-integral term in the ...
Jie Gu, Lijuan Nong, Qian Yi, An Chen
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Inverse Multiquadric Function to Price Financial Options under the Fractional Black–Scholes Model
Fractal and Fractional, 2022 The inverse multiquadric radial basis function (RBF), which is one of the most important functions in the theory of RBFs, is employed on an adaptive mesh of points for pricing a fractional Black–Scholes partial differential equation (PDE) based on the ...
Yanlai Song, Stanford Shateyi
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Mathematics, 2023 In this study, we use a new approach, known as the Aboodh residual power series method (ARPSM), in order to obtain the analytical results of the Black–Scholes differential equations (BSDEs), which are prime for judgment of European call and put options ...
Muhammad Imran Liaqat +2 more
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The Numerical Solution of Fractional Black-Scholes-Schrodinger Equation Using the RBFs Method
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
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