Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
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DOI: 10.1016/j.chaos.2020.110351
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Cited by:
- Jing Chang & Jin Zhang & Ming Cai, 2021. "Series Solutions of High-Dimensional Fractional Differential Equations," Mathematics, MDPI, vol. 9(17), pages 1-21, August.
- Agus Sugandha & Endang Rusyaman & Sukono & Ema Carnia, 2023. "A New Solution to the Fractional Black–Scholes Equation Using the Daftardar-Gejji Method," Mathematics, MDPI, vol. 11(24), pages 1-25, December.
- Liu, Tao, 2022. "Porosity reconstruction based on Biot elastic model of porous media by homotopy perturbation method," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
- Agus Sugandha & Endang Rusyaman & Sukono & Ema Carnia, 2024. "Using a Mix of Finite Difference Methods and Fractional Differential Transformations to Solve Modified Black–Scholes Fractional Equations," Mathematics, MDPI, vol. 12(7), pages 1-15, April.
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Keywords
Call option; European style; Fractional order; Geometric Brownian motion; Homotopy analysis method; Marked point process; Time-fractional Black-Scholes equation;All these keywords.
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