Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation

DOI10.1515/fca-2015-0004zbMath1308.91182OpenAlexW2562870422MaRDI QIDQ2260533

Gholam Hussian Erjaee, M. H. Akrami

Publication date: 11 March 2015

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/fca-2015-0004

zbMATH Keywords

Mittag-Leffler functionreconstruction of variational iteration methodfractional Black-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

Related Items (10)

Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method ⋮ Pricing of perpetual American put option with sub-mixed fractional Brownian motion ⋮ On the numerical solution of time fractional Black-Scholes equation ⋮ A hybrid radial basis functions collocation technique to numerically solve fractional advection–diffusion models ⋮ Applications of Hilfer-Prabhakar operator to option pricing financial model ⋮ Modeling of financial processes with a space-time fractional diffusion equation of varying order ⋮ نگرشی بر تجزیه و تحلیل مدلهای ریاضی در پیشگیری و زوال تومورهای سرطانی ⋮ Fractional Black-Scholes model with regularized Prabhakar derivative ⋮ Series representation of the pricing formula for the European option driven by space-time fractional diffusion ⋮ Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models

Cites Work

• Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform
• A robust and accurate finite difference method for a generalized Black-Scholes equation
• The multi-index Mittag-Leffler functions as an important class of special functions of fractional calculus
• On analytical solutions of the Black-Scholes equation
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Some properties of the Mittag-Leffler functions and their relation with the wright functions
• Multi-parametric Mittag-Leffler functions and their extension
• The homotopy perturbation method for the Black–Scholes equation
• Tools for computational finance
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