Fractional model and solution for the Black-Scholes equation

DOI10.1002/MMA.4638zbMATH Open1407.91289OpenAlexW2766197030MaRDI QIDQ4603003FDOQ4603003

Authors: Jun-Sheng Duan, Lei Lu, Li-An Chen, Yulian An 

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

Recommendations

• Solution of the fractional Black-Scholes option pricing model by finite difference method
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
• Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method
• The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense
• scientific article; zbMATH DE number 6932973

zbMATH Keywords

fractional derivativeinitial value problemmathematical financeBlack-Scholes equationterminal value problemasset pricing models

Mathematics Subject Classification ID

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)

Cited In (20)

• Title not available (Why is that?)
• Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation
• Title not available (Why is that?)
• Numerical solutions of Black-Scholes integro-differential equations with convergence analysis
• Multiscale estimation of processes related to the fractional Black-Scholes equation
• Title not available (Why is that?)
• Right Hadamard fractional differences and summation by parts
• Right fractional calculus to inverse-time chaotic maps and asymptotic stability analysis
• The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
• Fractional Black-Scholes model and technical analysis of stock price
• 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
• Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime
• 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

This page was built for publication: Fractional model and solution for the Black-Scholes equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4603003)