Numerical computation of fractional Black–Scholes equation arising in financial market

The aim of present paper is to present a numerical algorithm for time-fractional Black–Scholes equation with boundary condition for a European option problem by using homotopy perturbation method and homotopy analysis method. The fractional derivative is described in the Caputo sense. The methods gi...

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Vydané v:	Egyptian Journal of Basic and Applied Sciences Ročník 1; číslo 3-4; s. 177 - 183
Hlavní autori:	Kumar, Sunil, Kumar, Devendra, Singh, Jagdev
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier B.V 01.12.2014 Taylor & Francis
Predmet:	2010 34A08 35A20 Analytical solution Black-Scholes equation European option pricing Fractional derivatives Homotopy analysis method Homotopy perturbation method Mathematics Subject Classification European option pricing Black–Scholes equation Homotopy analysis method Homotopy perturbation method 35A20 Fractional derivatives Analytical solution 34A08
ISSN:	2314-808X, 2314-808X
On-line prístup:	Získať plný text
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