scientific article; zbMATH DE number 6932973
From MaRDI portal
Publication:4585259
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Solutions to PDEs in closed form (35C05) Series solutions to PDEs (35C10) Second-order parabolic equations (35K10) Fractional partial differential equations (35R11)
Recommendations
- European option pricing of fractional Black-Scholes model with new Lagrange multipliers
- Numerical solution of the time fractional Black-Scholes model governing European options
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- Pricing European and American options under fractional model
- Option pricing of a mixed fractional-fractional version of the Black-Scholes model
- A different approach to the European option pricing model with new fractional operator
- Series representation of the pricing formula for the European option driven by space-time fractional diffusion
- A weighted-fractional model to European option pricing
- A regime switching fractional Black-Scholes model and European option pricing
- A reliable treatment of residual power series method for time-fractional Black-Scholes European option pricing equations
Cited in
(26)- Pricing Options Under Time-Fractional Model Using Adomian Decomposition
- Solving Black-Scholes equations using fractional generalized homotopy analysis method
- Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method
- Adomian series solution of a generalized Black-Scholes equation and its numerical computation
- An efficient method for solving fractional Black-Scholes model with index and exponential decay kernels
- Fractional model and solution for the Black-Scholes equation
- Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption
- Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market
- Approximate solution of fractional Black-Scholes European option pricing equation by using ETHPM
- An appropriate approach to pricing European-style options with the Adomian decomposition method
- Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
- A different approach to the European option pricing model with new fractional operator
- A quantitative approach to fractional option pricing problems with decomposition series
- A study on existence and global asymptotical Mittag-Leffler stability of fractional Black-Scholes European option pricing equation
- European option pricing models described by fractional operators with classical and generalized<scp>Mittag‐Leffler</scp>kernels
- scientific article; zbMATH DE number 7556299 (Why is no real title available?)
- European option pricing of fractional Black-Scholes model with new Lagrange multipliers
- Series representation of the pricing formula for the European option driven by space-time fractional diffusion
- Fractional Black-Scholes model with regularized Prabhakar derivative
- Pricing European and American options under fractional model
- Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique
- Solving fractional Black-Scholes equation by using Boubaker functions
- Stability analysis for pricing European options regarding the interest rate generated by the time fractional Cox-Ingersoll-Ross processes
- On the analysis of Black-Scholes equation for European call option involving a fractional order with generalized two dimensional differential transform method
- Option pricing under the KoBol model
- Optimal algebra and power series solution of fractional Black-Scholes pricing model
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4585259)
