A fractional reduced differential transform method for solving time fractional Black Scholes American option pricing equation

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

zbMATH Keywords

Mittag-Leffler function; option pricing; American options; fractional Black-Scholes equation; fractional reduced differential transform method

Mathematics Subject Classification ID

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