scientific article; zbMATH DE number 6932973
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Publication:4585259
zbMATH Open1394.35552MaRDI QIDQ4585259FDOQ4585259
Authors: Mojtaba Ranjbar, Mohammad Ali Mohebbi Ghandehari 
Publication date: 6 September 2018
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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)
Cited In (26)
- Solving Black-Scholes equations using fractional generalized homotopy analysis method
- Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market
- A quantitative approach to fractional option pricing problems with decomposition series
- Recovery of the time-dependent implied volatility of time fractional Black-Scholes equation using linearization technique
- Option pricing under the KoBol model
- On the analysis of Black-Scholes equation for European call option involving a fractional order with generalized two dimensional differential transform method
- European option pricing models described by fractional operators with classical and generalized<scp>Mittag‐Leffler</scp>kernels
- European option pricing of fractional Black-Scholes model with new Lagrange multipliers
- Optimal algebra and power series solution of fractional Black-Scholes pricing model
- Pricing Options Under Time-Fractional Model Using Adomian Decomposition
- An appropriate approach to pricing European-style options with the Adomian decomposition method
- Stability analysis for pricing European options regarding the interest rate generated by the time fractional Cox-Ingersoll-Ross processes
- Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method
- Fractional model and solution for the Black-Scholes equation
- A study on existence and global asymptotical Mittag-Leffler stability of fractional Black-Scholes European option pricing equation
- Approximate solution of fractional Black-Scholes European option pricing equation by using ETHPM
- Adomian series solution of a generalized Black-Scholes equation and its numerical computation
- Pricing European and American options under fractional model
- Solving fractional Black-Scholes equation by using Boubaker functions
- 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
- Series representation of the pricing formula for the European option driven by space-time fractional diffusion
- An efficient method for solving fractional Black-Scholes model with index and exponential decay kernels
- 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
- Fractional Black-Scholes model with regularized Prabhakar derivative
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