A fractional reduced differential transform method for solving time fractional Black Scholes American option pricing equation
Publication:5029841
DOI10.37193/CMI.2021.01.01zbMath1499.91132WikidataQ113250767 ScholiaQ113250767MaRDI QIDQ5029841
Renu Jain, Rajshree Mishra, Mansoor Ahmad
Publication date: 14 February 2022
Published in: Creative Mathematics and Informatics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.37193/cmi.2021.01.01
Mittag-Leffler function; option pricing; American options; fractional Black-Scholes equation; fractional reduced differential transform method
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
35R11: Fractional partial differential equations