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.
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页码：8505 / 8515
页数：11
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