A fractional reduced differential transform method for solving time fractional Black Scholes American option pricing equation
DOI10.37193/CMI.2021.01.01zbMath1499.91132OpenAlexW3135206288WikidataQ113250767 ScholiaQ113250767MaRDI QIDQ5029841
Renu Jain, Rajshree Mishra, Mansoor Ahmad
Publication date: 14 February 2022
Published in: Creative Mathematics and Informatics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.37193/cmi.2021.01.01
Mittag-Leffler functionoption pricingAmerican optionsfractional Black-Scholes equationfractional reduced differential transform method
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)
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