ANALYSIS OF FRACTIONAL DIFFUSION MODELS IN FINANCE

DOI10.17654/MS102030453zbMath1499.91147OpenAlexW2744760335MaRDI QIDQ4601731

A. Manivannan, V. Parthiban

Publication date: 24 January 2018

Published in: Far East Journal of Mathematical Sciences (FJMS) (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/10997.htm

zbMATH Keywords

analytical solutionAdomian's decomposition methodBlack-Scholes equationfractional partial differential equations

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)

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