Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation

DOI10.1016/j.chaos.2020.110351zbMath1496.91100OpenAlexW3097393452MaRDI QIDQ2128167

Sunday Emmanuel Fadugba

Publication date: 21 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.110351

zbMATH Keywords

marked point processgeometric Brownian motionfractional orderhomotopy analysis methodcall optiontime-fractional Black-Scholes equationEuropean style

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

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