Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market
DOI10.1002/MMA.8924zbMath1530.91613OpenAlexW4311872406MaRDI QIDQ6140685
Yadollah Ordokhani, Parisa Rahimkhani, S. Sabermahani
Publication date: 2 January 2024
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.8924
convergence analysisnumerical methodcollocation methodfractional integral operatorsystem of algebraic equationsdistributed order time-fractional Black-Scholes modelbibliometric viewpointHahn hybrid functions
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Fractional partial differential equations (35R11)
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