Numerical solution of the Black-Scholes partial differential equation for the option pricing model using the ADM-Kamal method
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Publication date: 11 March 2024
Full work available at URL: http://e-ndst.kiev.ua/v23n3/6(88).pdf
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Black-ScholesAdomian decomposition methodfractional partial differential equationKamal integral transformprice of buy and sell options
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional ordinary differential equations (34A08) General systems (93A10) Functional-differential equations with fractional derivatives (34K37) Nonlinear modes (70K75)
Cites Work
- The pricing of options and corporate liabilities
- The homotopy perturbation method for the Black–Scholes equation
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- Solution of the fractional Black-Scholes option pricing model by finite difference method
- Forecasting manufacturing industrial natural gas consumption of China using a novel time-delayed fractional grey model with multiple fractional order
- Generalized monotone iterative technique for Caputo fractional differential equation with periodic boundary condition via initial value problem
- Complexity and Hopf bifurcation analysis on a kind of fractional-order IS-LM macroeconomic system
- Dynamical analysis and adaptive fuzzy control for the fractional-order financial risk chaotic system
- Title not available (Why is that?)
- Control of a shunt active power filter by the synchronous referential method connected with a photovoltaic solar energy
Cited In (4)
- Haar wavelet-based valuation method for pricing European options
- Analysis of a kernel-based method for some pricing financial options
- A new numerical scheme for solving time-fractional variable-order partial differential equations
- The advection-diffusion-reaction equation: a numerical approach using a combination of approximation techniques
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