The present paper accomplishes a major step towards a reconciliation of two conflicting approaches in mathematical finance: on the one hand, the mainstream approach based on the notion of no arbitrage (Black, Merton & Scholes); and on the other hand, the consideration of non-semimartingale price processes, the archetype of which being fractional Brownian motion (Mandelbrot). Imposing (arbitrari...

In this paper we develop a numerical approach to a fractional-order differential linear complementarity problem (LCP) arising in pricing European and American options under a geometric Lévy process. The (LCP) is first approximated by a penalized nonlinear fractional Black-Scholes (fBS) equation. To numerically solve this nonlinear (fBS), we use the horizontal method of lines to discretize the t...

in this paper, we prove the existence and uniqueness results to the random fractional functional differential equations under assumptions more general than the lipschitz type condition. moreover, the distance between exact solution and appropriate solution, and the existence extremal solution of the problem is also considered.

Fractional pebbling is a generalization of black-white pebbling introduced recently. In this reasearch paper we solve an open problem by proving a tight lower bound on the pebble weight required to fractionally pebble a balanced d-ary tree of height h. This bound has close ties with branching programs and the separation of P from NL.

We study the branching program complexity of the tree evaluation problem, introduced in [BCM+09a] as a candidate for separating NL from LogCFL. The input to the problem is a rooted, balanced dary tree of height h, whose internal nodes are labelled with d-ary functions on [k] = {1, . . . , k}, and whose leaves are labelled with elements of [k]. Each node obtains a value in [k] equal to its d-ary...

the complex-step derivative approximation is applied to compute numerical derivatives. in this study, we propose a new formula of fractional complex-step method utilizing jumarie definition. based on this method, we illustrated an approximate analytic solution for the fractional cauchy-euler equations. application in image denoising is imposed by introducing a new fractional mask depending on s...

The aim of this paper is to present a stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range dependence. We consider the option price as a sum of classical Black-Scholes price and random deviation describing the risk from the random volatility. By using the ...