Application Of Natural Decomposition Method For Solution Of Fractional Black-Scholes Equation

Numerical Solution of Fractional Black Scholes Equation Based on Radial Basis Functions Method

Options pricing have an important role in risk control and risk management. Pricing discussion requires modelling process, solving methods and implementing the model by real data in a given market. In this paper we show a model for underlying asset based on fractional stochastic models which is a particular type of behavior of stochastic assets changing. In addition a numerical method based on ...

Numerical Solutions for Fractional Black-Scholes Option Pricing Equation

In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.

The use of iterative methods for solving Black-Scholes equation

Application of Adomian’s Decomposition Method for the Analytical Solution of Space Fractional Diffusion Equation

Spatially fractional order diffusion equations are generalizations of classical diffusion equations which are increasingly used in modeling practical super diffusive problems in fluid flow, finance and others areas of application. This paper presents the analytical solutions of the space fractional diffusion equations by Adomian’s decomposition method (ADM). By using initial conditions, the exp...

Analytical Solution of Fractional Black-scholes European Option Pricing Equation by Using Laplace Transform

In this paper, Laplace homotopy perturbation method, which is combined form of the Laplace transform and the homotopy perturbation method, is employed to obtain a quick and accurate solution to the fractional Black Scholes equation with boundary condition for a European option pricing problem. The Black-Scholes formula is used as a model for valuing European or American call and put options on ...