[HTML][HTML] Short memory fractional differential equations for new memristor and neural network design
Fractional derivatives hold memory effects, and they are extensively used in various real-
world applications. However, they also need large storage space and cause poor efficiency …
world applications. However, they also need large storage space and cause poor efficiency …
[HTML][HTML] Numerical analysis of time fractional Black–Scholes European option pricing model arising in financial market
The price variation of the correlated fractal transmission system is used to deduce the
fractional Black–Scholes model that has an α α-order time fractional derivative. The …
fractional Black–Scholes model that has an α α-order time fractional derivative. The …
[HTML][HTML] Review of the Fractional Black-Scholes Equations and Their Solution Techniques
H Zhang, M Zhang, F Liu, M Shen - Fractal and Fractional, 2024 - mdpi.com
The pioneering work in finance by Black, Scholes and Merton during the 1970s led to the
emergence of the Black-Scholes (BS) equation, which offers a concise and transparent …
emergence of the Black-Scholes (BS) equation, which offers a concise and transparent …
[HTML][HTML] The modified homotopy perturbation method and its application to the dynamics of price evolution in Caputo-fractional order Black Scholes model
Background Following a financial loss in trades due to lack of risk management in previous
models from market practitioners, Fisher Black and Myron Scholes visited the academic …
models from market practitioners, Fisher Black and Myron Scholes visited the academic …
Pointwise error estimates of compact difference scheme for mixed-type time-fractional Burgers' equation
In this paper, based on the developed nonlinear fourth-order operator and method of order
reduction, a novel fourth-order compact difference scheme is constructed for the mixed-type …
reduction, a novel fourth-order compact difference scheme is constructed for the mixed-type …
Nonuniform difference schemes for multi-term and distributed-order fractional parabolic equations with fractional Laplacian
In this paper, the multi-term temporal fractional order and temporal distributed-order
parabolic equations with fractional Laplacian are numerically investigated. Several …
parabolic equations with fractional Laplacian are numerically investigated. Several …
[HTML][HTML] The backward problem for a time-fractional diffusion-wave equation in a bounded domain
T Wei, Y Zhang - Computers & Mathematics with Applications, 2018 - Elsevier
This paper is devoted to solve the backward problem for a time-fractional diffusion-wave
equation in a bounded domain. Based on the series expression of the solution for the direct …
equation in a bounded domain. Based on the series expression of the solution for the direct …
Computational approach based on wavelets for financial mathematical model governed by distributed order fractional differential equation
In this study, for the first time, the approximate solution of Black–Scholes option pricing
distributed order time-fractional partial differential equation by means of Legendre and …
distributed order time-fractional partial differential equation by means of Legendre and …
[HTML][HTML] A computational method based on the moving least-squares approach for pricing double barrier options in a time-fractional Black–Scholes model
A Golbabai, O Nikan - Computational Economics, 2020 - Springer
The mathematical modeling in trade and finance issues is the key purpose in the
computation of the value and considering option during preferences in contract. This paper …
computation of the value and considering option during preferences in contract. This paper …
Localized kernel‐based meshless method for pricing financial options underlying fractal transmission system
O Nikan, Z Avazzadeh… - … Methods in the Applied …, 2024 - Wiley Online Library
The variation in the option pricing of the fractal transmission system is modelled by the time
fractional Black–Scholes equation (TFBSE). This paper proposes an efficient local meshless …
fractional Black–Scholes equation (TFBSE). This paper proposes an efficient local meshless …