On comparative analysis for the Black-Scholes model in the generalized fractional derivatives sense via Jafari transform
type: Item
instance of: scholarly article
title: On comparative analysis for the Black-Scholes model in the generalized fractional derivatives sense via Jafari transform
zbMATH Open document ID: 1480.91297
DOI: 10.1155/2021/7767848
author: Yanyan Li
published in: Journal of Function Spaces
publication date: 2022-01-05T00:00:00Z
review text: Summary: The Black-Scholes model is well known for determining the behavior of capital asset pricing models in the finance sector. The present article deals with the Black-Scholes model via the Caputo fractional derivative and Atangana-Baleanu fractional derivative operator in the Caputo sense, respectively. The Jafari transform is merged with the Adomian decomposition method and new iterative transform method. It is worth mentioning that the Jafari transform is the unification of several existing transforms. Besides that, the convergence and uniqueness results are carried out for the aforesaid model. In mathematical terms, the variety of equations and their solutions have been discovered and identified with various novel features of the projected model. To provide additional context for these ideas, numerous sorts of illustrations and tabulations are presented. The precision and efficacy of the proposed technique suggest its applicability for a variety of nonlinear evolutionary problems.
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 26A33
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 7452501
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2021/7767848
OpenAlex ID: W4200334747
cites work: The Grünwald-Letnikov method for fractional differential equations
cites work: On Riemann-Liouville and Caputo derivatives
cites work: Laplace homotopy analysis method for solving linear partial differential equations using a fractional derivative with and without kernel singular
cites work: Analysis of regularized long-wave equation associated with a new fractional operator with Mittag-Leffler type kernel
cites work: On the analysis of chemical kinetics system pertaining to a fractional derivative with Mittag-Leffler type kernel
cites work: Reconstructing the right-hand side of a fractional subdiffusion equation from the final data
cites work: NEW ITERATIVE TRANSFORM METHOD FOR TIME AND SPACE FRACTIONAL (n + 1)-DIMENSIONAL HEAT AND WAVE TYPE EQUATIONS
cites work: Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
cites work: Haar wavelet method for the system of integral equations
cites work: Numerical solutions of fuzzy differential equations using reproducing kernel Hilbert space method
cites work: Q5360916
cites work: A robust and accurate finite difference method for a generalized Black-Scholes equation
cites work: Some mathematical results in the pricing of American options
cites work: An upwind approach for an American and European option pricing model
cites work: Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
cites work: A different approach to the European option pricing model with new fractional operator
cites work: An iterative method for solving nonlinear functional equations
cites work: Application of new iterative transform method and modified fractional homotopy analysis transform method for fractional Fornberg-Whitham equation
cites work: New iterative method based on Laplace decomposition algorithm
cites work: Sumudu transform: a new integral transform to solve differential equations and control engineering problems
cites work: Q5240014
cites work: A new integral transform for solving higher order linear ordinary Laguerre and Hermite differential equations
cites work: The intrinsic structure and properties of Laplace-typed integral transforms
cites work: New general integral transform via Atangana-Baleanu derivatives
cites work: Chaos in a simple nonlinear system with Atangana-Baleanu derivatives with fractional order
cites work: Nonlinear regularized long-wave models with a new integral transformation applied to the fractional derivative with power and Mittag-Leffler kernel
cites work: Convergence of the Adomian method applied to a class of nonlinear integral equations
Recommended article: Generalised class of time fractional black Scholes equation and numerical analysis
Recommended article: Fractional model and solution for the Black‐Scholes equation
Recommended article: Fractional Black-Scholes model with regularized Prabhakar derivative
Recommended article: On the analysis of Black-Scholes equation for European call option involving a fractional order with generalized two dimensional differential transform method
Recommended article: A closed-form approximation for the fractional Black-Scholes model with transaction costs
Recommended article: Solving Black-Scholes equations using fractional generalized homotopy analysis method
Recommended article: Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing
Recommended article: A fractional Black-Scholes model with jumps
Recommended article: On approximate-analytical solution of generalized Black-Scholes equation
Recommended article: Approximation of time fractional Black-Scholes equation via radial kernels and transformations
description: scientific article; zbMATH DE number 7452501