On the solution of two-dimensional fractional Black-Scholes equation for European put option
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Publication:2058204
DOI10.1186/s13662-020-02554-8zbMath1482.91206OpenAlexW3032001790MaRDI QIDQ2058204
Kamonchat Trachoo, Din Prathumwan
Publication date: 7 December 2021
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-020-02554-8
analytical solutionsfractional Black-Scholes equationEuropean put optionLaplace homotopy perturbation method
Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)
Related Items (8)
Calculations of fractional derivative option pricing models based on neural network ⋮ Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option ⋮ Unnamed Item ⋮ SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL ⋮ A space-time spectral method for time-fractional Black-Scholes equation ⋮ Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation ⋮ Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing ⋮ Optimal algebra and power series solution of fractional Black-Scholes pricing model
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