Solving fractional Black-Scholes equation by using Boubaker functions

被引：8
|
作者：
Khajehnasiri, A. A. [1 ]
Safavi, M. [2 ]
机构：
[1] Islamic Azad Univ, North Tehran Branch, Dept Math, Tehran, Iran
[2] Payame Noor Univ, Dept Math, POB 19395-3697, Tehran, Iran
来源：
MATHEMATICAL METHODS IN THE APPLIED SCIENCES | 2021年 / 44卷 / 11期
关键词：
Black– Scholes equation; Boubaker functions; fractional calculus; operational calculus; DIFFERENTIAL-EQUATIONS; OPERATIONAL SOLUTION; NUMERICAL-SOLUTION; SPACE; MODEL;
D O I：
10.1002/mma.7270
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The fractional Black-Scholes pricing model widely appears in financial markets. This paper presents the special class of operational matrix to approximate the solution of fractional Black-Scholes equation based on the Boubaker polynomial functions. The Boubaker operational matrix of the fractional derivative converts the model to obtain the numerical solution of the time-fractional Black-Scholes equation. The numerical results are displayed in some tables for better illustration with testing in some examples.
引用
收藏
页码：8505 / 8515
页数：11
相关论文
共 50 条
  • [31] Forecasting the behaviour of fractional Black-Scholes option pricing equation by laplace perturbation iteration algorithm
    Khan, Fareeha Sami
    Sultana, Mariam
    Khalid, Muhammad
    Zaidi, Faheem
    Nonlaopon, Kamsing
    ALEXANDRIA ENGINEERING JOURNAL, 2023, 62 : 85 - 97
  • [32] AN EFFICIENT METHOD FOR SOLVING TWO-ASSET TIME FRACTIONAL BLACK-SCHOLES OPTION PRICING MODEL
    Delpasand, R.
    Hosseini, M. M.
    JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS, 2022, 26 (02) : 121 - 137
  • [33] Lie symmetry, exact solutions and conservation laws of time fractional Black-Scholes equation derived by the fractional Brownian motion
    Yu, Jicheng
    JOURNAL OF APPLIED ANALYSIS, 2024, 30 (01) : 137 - 145
  • [34] ON APPROXIMATE-ANALYTICAL SOLUTION OF GENERALIZED BLACK-SCHOLES EQUATION
    Aminikhah, Hossein
    Mehrdoust, Farshid
    UNIVERSITY POLITEHNICA OF BUCHAREST SCIENTIFIC BULLETIN-SERIES A-APPLIED MATHEMATICS AND PHYSICS, 2015, 77 (04): : 185 - 194
  • [35] Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform
    Elbeleze, Asma Ali
    Kilicman, Adem
    Taib, Bachok M.
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2013, 2013
  • [36] The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense
    Sawangtong, Panumart
    Trachoo, Kamonchat
    Sawangtong, Wannika
    Wiwattanapataphee, Benchawan
    MATHEMATICS, 2018, 6 (08):
  • [37] Nonuniform Finite Difference Scheme for the Three-Dimensional Time-Fractional Black-Scholes Equation
    Kim, Sangkwon
    Lee, Chaeyoung
    Lee, Wonjin
    Kwak, Soobin
    Jeong, Darae
    Kim, Junseok
    JOURNAL OF FUNCTION SPACES, 2021, 2021
  • [38] Lie Symmetries and the Invariant Solutions of the Fractional Black-Scholes Equation under Time-Dependent Parameters
    Jamal, Sameerah
    Champala, Reginald
    Khan, Suhail
    FRACTAL AND FRACTIONAL, 2024, 8 (05)
  • [39] Neural network learning of Black-Scholes equation for option pricing
    Daniel de Souza Santos
    Tiago A. E. Ferreira
    Neural Computing and Applications, 2025, 37 (4) : 2357 - 2368
  • [40] An inverse Black-Scholes problem
    Riane, Nizar
    David, Claire
    OPTIMIZATION AND ENGINEERING, 2021, 22 (04) : 2183 - 2204
12345