Fractional model and solution for the Black‐Scholes equation
DOI10.1002/MMA.4638zbMATH Open1407.91289OpenAlexW2766197030MaRDI QIDQ4603003FDOQ4603003
Li-An Chen, Lei Lu, Yulian An, Jun-Sheng Duan
Publication date: 8 February 2018
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.4638
fractional derivativeinitial value problemmathematical financeBlack-Scholes equationterminal value problemasset pricing models
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Laplace transform (44A10) Financial applications of other theories (91G80)
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- The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
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- Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
- On comparative analysis for the Black-Scholes model in the generalized fractional derivatives sense via Jafari transform
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- A generalization of the Mittag-Leffler function and solution of system of fractional differential equations
- Terminal value problems of non-homogeneous fractional linear systems with general memory kernels
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
- Localized kernel-based meshless method for pricing financial options underlying fractal transmission system
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