Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
DOI10.1016/J.CHAOS.2020.110351zbMATH Open1496.91100OpenAlexW3097393452MaRDI QIDQ2128167FDOQ2128167
Authors: Sunday Emmanuel Fadugba 
Publication date: 21 April 2022
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2020.110351
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marked point processgeometric Brownian motionfractional orderhomotopy analysis methodcall optiontime-fractional Black-Scholes equationEuropean style
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
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Cited In (11)
- A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
- Solving Black-Scholes equations using fractional generalized homotopy analysis method
- Porosity reconstruction based on Biot elastic model of porous media by homotopy perturbation method
- On the analysis of Black-Scholes equation for European call option involving a fractional order with generalized two dimensional differential transform method
- Title not available (Why is that?)
- Calculations of fractional derivative option pricing models based on neural network
- The reduced differential transform method for the Black-Scholes pricing model of European option valuation
- Homotopy analysis method for option pricing under stochastic volatility
- A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
- Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
- Localized kernel-based meshless method for pricing financial options underlying fractal transmission system
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