scientific article; zbMATH DE number 7556299

zbMath1496.91089MaRDI QIDQ5088812

Kharrat Mohamed

Publication date: 13 July 2022

Full work available at URL: http://online.watsci.org/abstract_pdf//2022v29/v29n2b-pdf/4.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Adomian decompositionpricing American optionfractional Black and Scholes model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Adomian decomposition: a tool for solving a system of fractional differential equations
• On the theory of option pricing
• On the pricing of American options
• Solving multi-term linear and non-linear diffusion-wave equations of fractional order by Adomian decomposition method
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Numerical methods for pricing American options with time-fractional PDE models
• A universal difference method for time-space fractional Black-Scholes equation
• Numerical solution of the time fractional Black-Scholes model governing European options
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