Fractional Black-Scholes model with regularized Prabhakar derivative

DOI10.2298/PIM1716121EzbMath1474.62361OpenAlexW2769948126MaRDI QIDQ4985615

Shiva Eshaghi, Alireza Ansari, Mohammadreza Ahmadi Darani, Reza Khoshsiar Ghaziani

Publication date: 24 April 2021

Published in: Publications de l'Institut Math?matique (Belgrade) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2298/pim1716121e

zbMATH Keywords

Laplace transformgeneralized Mittag-Leffler functionreconstruction of variational iteration methodregularized Prabhakar derivativegeneralized fractional Black-Scholes equation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional derivatives and integrals (26A33)

Related Items (6)

Research on fast numerical calculation based on fractional calculus model for macroeconomic growth ⋮ Analytical treatment of regularized Prabhakar fractional differential equations by invariant subspaces ⋮ On new approximations of Caputo–Prabhakar fractional derivative and their application to reaction–diffusion problems with variable coefficients ⋮ Hopf bifurcation, chaos control and synchronization of a chaotic fractional-order system with chaos entanglement function ⋮ Lyapunov-type inequality for nonlinear systems with Riemann-Liouville fractional derivatives ⋮ Finiteness conditions for performance indices in generalized fractional-order systems defined based on the regularized Prabhakar derivative

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