Pricing Options Under Time-Fractional Model Using Adomian Decomposition
From MaRDI portal
Recommendations
- A nonlinear option pricing model through the Adomian decomposition method
- A new method for option pricing via time-fractional PDE
- Option pricing in fractional models
- A quantitative approach to fractional option pricing problems with decomposition series
- Option pricing under the fractional stochastic volatility model
- An appropriate approach to pricing European-style options with the Adomian decomposition method
- Option pricing of a mixed fractional-fractional version of the Black-Scholes model
- Actuarial approach to option pricing in a fractional Black-Scholes model with time-dependent volatility
- Numerical methods for pricing American options with time-fractional PDE models
- scientific article; zbMATH DE number 7266443
Cites work
- scientific article; zbMATH DE number 3986325 (Why is no real title available?)
- scientific article; zbMATH DE number 6932973 (Why is no real title available?)
- scientific article; zbMATH DE number 6949560 (Why is no real title available?)
- scientific article; zbMATH DE number 7441400 (Why is no real title available?)
- scientific article; zbMATH DE number 7089055 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- American options by Malliavin calculus and nonparametric variance and bias reduction methods
- An efficient analytical approach for fractional equal width equations describing hydro-magnetic waves in cold plasma
- An efficient computational approach for a fractional-order biological population model with carrying capacity
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- Existence and uniqueness for nonlinear multi-variables fractional differential equations
- Fractional calculus and fractional processes with applications to financial economics. Theory and applications
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
- Numerical methods for pricing American options with time-fractional PDE models
- Numerical solution of the time fractional Black-Scholes model governing European options
- On the analysis of vibration equation involving a fractional derivative with Mittag-Leffler law
- On the theory of option pricing
- Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Solving a system of nonlinear fractional differential equations using Adomian decomposition
- Solving multi-term linear and non-linear diffusion-wave equations of fractional order by Adomian decomposition method
- The pricing of options and corporate liabilities
- The valuation of American options for a class of diffusion processes
- Valuing American options by simulation: a simple least-squares approach
- Weak solutions for boundary-value problems with nonlinear fractional differential inclusions
Cited in
(3)
This page was built for publication: Pricing Options Under Time-Fractional Model Using Adomian Decomposition
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6165078)
