Solving Black-Scholes equations using fractional generalized homotopy analysis method

DOI10.1007/s40314-020-01306-4zbMath1463.91202OpenAlexW3083037119MaRDI QIDQ827357

S. R. Saratha, M. Bagyalakshmi, Chee Peng Lim, G. Sai Sundara Krishnan

Publication date: 7 January 2021

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-020-01306-4

zbMATH Keywords

Mittag-Leffler functionMonte Carlo simulationfractional calculusimplied volatilityfractional partial differential equationsLaplace-type integral transform

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) Fractional partial differential equations (35R11)

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