Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model

DOI10.1007/s40306-014-0079-7zbMath1335.91118OpenAlexW2003756604MaRDI QIDQ890155

Ahmad Rami El-Nabulsi

Publication date: 9 November 2015

Published in: Acta Mathematica Vietnamica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40306-014-0079-7

zbMATH Keywords

fractional action-like variational approachfunctional with two occurrences of fractional action integralsgeometric average Asian call optionoptimal change

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Lagrange's equations (70H03) Existence theories for optimal control problems involving relations other than differential equations (49J21)

Related Items (8)

Nonlinear wave equation in an inhomogeneous medium from non-standard singular Lagrangians functional with two occurrences of integrals ⋮ Fractional Tikhonov regularization method in Hilbert scales ⋮ Lie symmetry analysis and exact solution of certain fractional ordinary differential equations ⋮ Space-time fractional nonlinear partial differential equations: symmetry analysis and conservation laws ⋮ Two occurrences of fractional actions in nonlinear dynamics ⋮ Noether symmetries for fractional generalized Birkhoffian systems in terms of classical and combined Caputo derivatives ⋮ Saigo-Maeda operators involving the Appell function, real spectra from symmetric quantum Hamiltonians and violation of the second law of thermodynamics for quantum damped oscillators ⋮ Time fractional Kupershmidt equation: symmetry analysis and explicit series solution with convergence analysis

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