Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption

DOI10.1080/23311835.2017.1352118zbMath1427.91272OpenAlexW2734444152MaRDI QIDQ5193440

O. O. Ugbebor, Unnamed Author, Sunday O. Edeki

Publication date: 10 September 2019

Published in: Cogent Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/23311835.2017.1352118

zbMATH Keywords

option pricingfractional calculusilliquid marketnonlinear Black-Scholes modelMDTM

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

Related Items (2)

A novel analytical technique for the solution of time-fractional Ivancevic option pricing model ⋮ DYNAMIC NONLINEAR DIFFERENTIAL INVESTMENT DECISION MODEL FOR SCENIC SPOT SYSTEM WITH UNCERTAINTIES AND EMERGENCIES

Uses Software

• Maple

Cites Work

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