A semianalytical solution of the fractional derivative model and its application in financial market (Q1791055)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A semianalytical solution of the fractional derivative model and its application in financial market |
scientific article; zbMATH DE number 6946839
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A semianalytical solution of the fractional derivative model and its application in financial market |
scientific article; zbMATH DE number 6946839 |
Statements
A semianalytical solution of the fractional derivative model and its application in financial market (English)
0 references
4 October 2018
0 references
Summary: Fractional differential equation has been introduced to the financial theory, which presents new ideas and tools for the theoretical researches and the practical applications. In the work, an approximate semianalytical solution of the time-fractional European option pricing model is derived using the method of combining the enhanced technique of Adomian decomposition method with the finite difference method. Then, the result is introduced in China's financial market. The work makes every effort to test the feasibility of the fractional derivative model in the actual financial market.
0 references
fractional differential equation
0 references
financial theory
0 references
European option pricing model
0 references
Adomian decomposition method with the finite difference method
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
