Solving fractional Black–Scholes equation by using Boubaker functions

DOI10.1002/MMA.7270zbMath1486.91092OpenAlexW3130189355MaRDI QIDQ5004448

Mostafa Safavi, Amirahmad A. Khajehnasiri

Publication date: 2 August 2021

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.7270

zbMATH Keywords

fractional calculusBlack-Scholes equationoperational calculusBoubaker functions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20) Approximation by other special function classes (41A30) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

Related Items (4)

Unnamed Item ⋮ Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation ⋮ Operational matrix method for solving fractional weakly singular 2D partial Volterra integral equations ⋮ Boubaker polynomials and their applications for solving fractional two-dimensional nonlinear partial integro-differential Volterra integral equations

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