Results 21 to 30 of about 28,474 (179)

Solution of time fractional Black-Scholes European option pricing equation arising in financial market

Nonlinear Engineering, 2016
In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation.
Ravi Kanth A.S.V., Aruna K.
doaj   +2 more sources

Approximation of time fractional Black-Scholes equation via radial kernels and transformations [PDF]

Fractional Differential Calculus, 2019
. In the present work, a numerical scheme is constructed for approximation of time fractional Black-Scholes model governing European options. The present numerical scheme has the capability to overcome spurious oscillation in the case of volatility.
Marjan Uddin, Muhammad Taufiq
openalex   +2 more sources

A Robust numerical technique based on the chromatic polynomials for the European options regulated by the time-fractional Black–Scholes equation [PDF]

Journal of Umm Al-Qura University for Applied Sciences
Risk mitigation and control are critical for investors in the finance sector. Purchasing significant instruments that eliminate the risk of price fluctuation helps investors manage these risks.
A. N. Nirmala, S. Kumbinarasaiah
openalex   +2 more sources

A Compact Difference Scheme for Mixed‐Type Time‐Fractional Black‐Scholes Equation in European Option Pricing [PDF]

Mathematical methods in the applied sciences
The time‐fractional Black‐Scholes equation (TFBSE) is an important model in financial markets, widely used for estimating the prices of European options under conditions of memory effects and anomalous diffusion.
Jiawei Wang, Xiaoxuan Jiang, Xuehua Yang, Haixiang Zhang   +3 more
openalex   +2 more sources

A class of intrinsic parallel difference methods for time-space fractional Black–Scholes equation

Advances in Difference Equations, 2018
To quickly solve the fractional Black–Scholes (B–S) equation in the option pricing problems, in this paper, we construct pure alternative segment explicit–implicit (PASE-I) and pure alternative segment implicit–explicit (PASI-E) difference schemes for ...
Yue Li, Xiaozhong Yang, Shuzhen Sun
doaj   +2 more sources

Generalised class of Time Fractional Black Scholes equation and numerical analysis

Discrete and Continuous Dynamical Systems. Series A, 2018
It is well known now, that a Time Fractional Black Scholes Equation (TFBSE) with a time derivative of real order \begin{document}$ \alpha $\end{document} can be obtained to describe the price of an option, when for example the change in the underlying ...
Rodrigue Gnitchogna Batogna, Abdon Atangana   +1 more
openalex   +2 more sources

Analytical solution of time fractional Black-Scholes equation with two assets through new Sumudu Transform iterative method

Gulf Journal of Mathematics, 2023
There is a scopious rise in the study of financial derivatives over the past two or three decades. Mathematical model proposed by Black and Scholes expounds financial derivatives in a more momentous way.
Manzoor Ahmad, Rajshree Mishra, Renu Jain   +2 more
openalex   +3 more sources

A universal difference method for time-space fractional Black-Scholes equation [PDF]

, 2016
Sun Shuzhen, Wu Lifei, Yang Xiaozhong, Zhang Xue   +3 more
core   +3 more sources

Modified Cubic B-spline Based Differential Quadrature Methods for Time-fractional Black-Scholes Equation [PDF]

arXiv.org
The time-fractional Black-Scholes equation (TFBSE) is intended to price the options for which the underlying price fluctuates within a correlated fractal transmission system. Although the TFBSE is an influential approach for grasping the long-term memory
V Nizamudheen, Riyasudheen TK, Noufal Asharaf, T Shefeeq   +3 more
openalex   +2 more sources

Optimal approximations for the free boundary problems of the space-time fractional Black-Scholes equations using a combined physics-informed neural network. [PDF]

Sci Rep
Song L, Tan Y, Yu F, Luo Y, Zheng J.
europepmc   +3 more sources