An efficient method for solving fractional Black-Scholes model with index and exponential decay kernels
DOI10.1155/2022/2613133zbMath1501.91182OpenAlexW4296712335WikidataQ115521342 ScholiaQ115521342MaRDI QIDQ2086466
Zakia Hammouch, Saima Rashid, Ebenezer Bonyah, Saad Ihsan Butt
Publication date: 25 October 2022
Published in: Journal of Function Spaces (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2022/2613133
Adomian decomposition methodCaputo-Fabrizio fractional operatorfractional Black-Scholes modelYang transform
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Fractional partial differential equations (35R11)
Uses Software
Cites Work
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