scientific article; zbMATH DE number 6407943

zbMath1311.91194MaRDI QIDQ5175741

Mojtaba Ranjbar, Mohammad Ali Mohebbi Ghandehari

Publication date: 25 February 2015

Full work available at URL: http://cmde.tabrizu.ac.ir/article_1118_277.html

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zbMATH Keywords

fractional Black-Scholes equationSumudu transformsEuropean option pricing problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Fractional ordinary differential equations (34A08)

Related Items (9)

Solving Black-Scholes equations using fractional generalized homotopy analysis method ⋮ A robust numerical solution to a time-fractional Black-Scholes equation ⋮ Computational approach based on wavelets for financial mathematical model governed by distributed order fractional differential equation ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ A different approach to the European option pricing model with new fractional operator ⋮ Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation ⋮ Unnamed Item ⋮ A universal difference method for time-space fractional Black-Scholes equation ⋮ Asymptotics for discrete time hedging errors under fractional Black-Scholes models

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