Novel approaches for getting the solution of the fractional Black-Scholes equation described by Mittag-Leffler fractional derivative

DOI10.1155/2020/8047347zbMath1459.91203OpenAlexW3044695751MaRDI QIDQ2195502

Awa Traoré, Babacar Sène, Seydou Nourou Ndiaye, Ndolane Sene

Publication date: 26 August 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/8047347

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Analysis of Atangana-Baleanu fractional-order SEAIR epidemic model with optimal control ⋮ Local and implied volatilities with the mixed-modified-fractional-Dupire model ⋮ High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options

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