Using a Mix of Finite Difference Methods and Fractional Differential Transformations to Solve Modified Black–Scholes Fractional Equations
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- Asma Ali Elbeleze & Adem Kılıçman & Bachok M. Taib, 2013. "Homotopy Perturbation Method for Fractional Black-Scholes European Option Pricing Equations Using Sumudu Transform," Mathematical Problems in Engineering, Hindawi, vol. 2013, pages 1-7, May.
- Abdon Atangana & Necdet Bildik, 2013. "Existence and Numerical Solution of the Volterra Fractional Integral Equations of the Second Kind," Mathematical Problems in Engineering, Hindawi, vol. 2013, pages 1-11, November.
- Fadugba, Sunday Emmanuel, 2020. "Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
- Shengwu Zhou & Wei Li & Yu Wei & Cui Wen, 2012. "A Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models," Journal of Applied Mathematics, Hindawi, vol. 2012, pages 1-20, December.
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Keywords
modified fractional Black–Scholes; call option; put option; solution; finite difference method; fractional differential transformation method;All these keywords.
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