Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling

DOI10.1186/s13662-017-1461-2zbMath1445.91062OpenAlexW2783497650MaRDI QIDQ1711138

Oyoon Abdul Razzaq, Asmat Ara, Najeeb Alam Khan, Muhammad Asif Zahoor Raja, Tooba Hameed

Publication date: 17 January 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-017-1461-2

zbMATH Keywords

optimizationLévy processespricing modelswavelets approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional ordinary differential equations (34A08)

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