scientific article; zbMATH DE number 7441400

zbMATH Open1488.91167MaRDI QIDQ5014971FDOQ5014971

Authors: Sunil Kumar, Ahmet Yıldırım, Y. Khan, Hossein Jafari, Leilei Wei, K. Sayevand 

Publication date: 8 December 2021

Full work available at URL: http://math-frac.org/Journals/JFCA/Vol2_Jan_2012/Vol2_Papers/Volume2_Paper8_Abstract.html

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zbMATH Keywords

analytical solutionhomotopy perturbation methodLaplace transformsfractional Black-Scholes equationEuropean option pricing problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional derivatives and integrals (26A33) Fractional ordinary differential equations (34A08) Financial applications of other theories (91G80)

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• Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation
• A compact finite difference scheme for fractional Black-Scholes option pricing model
• The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense
• A universal difference method for time-space fractional Black-Scholes equation
• Analytical solutions for the Black-Scholes equation
• 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
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• Pricing Options Under Time-Fractional Model Using Adomian Decomposition
• Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method
• A study on existence and global asymptotical Mittag-Leffler stability of fractional Black-Scholes European option pricing equation
• Touchard wavelet technique for solving time-fractional Black-Scholes model
• On the solution of two-dimensional fractional Black-Scholes equation for European put option
• Laplace transformation method for the Black-Scholes equation
• Symmetries of fractional Guéant-Pu model with Gerasimov-Caputo time-derivative
• The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
• Approximate solution of fractional Black-Scholes European option pricing equation by using ETHPM
• Linearly autonomous symmetries of a fractional Guéant-Pu model
• A closed-form approximation for the fractional Black-Scholes model with transaction costs
• Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
• Design and analysis of a high order computational technique for time‐fractional Black–Scholes model describing option pricing
• Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform
• Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
• A new derivative with normal distribution kernel: theory, methods and applications
• A reliable treatment of residual power series method for time-fractional Black-Scholes European option pricing equations
• Introducing and solving generalized Black-Scholes PDEs through the use of functional calculus
• A space-time spectral method for time-fractional Black-Scholes equation
• Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
• Pricing European and American options under fractional model
• Fast numerical simulation of a new time-space fractional option pricing model governing European call option
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