Solution of time fractional Black-Scholes European option pricing equation arising in financial market
In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation. The method finds the solution without any discretization, transformation, or res...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2016-12-01
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| Series: | Nonlinear Engineering |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/nleng-2016-0052 |
| _version_ | 1819026548142899200 |
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| author | Ravi Kanth A.S.V. Aruna K. |
| author_facet | Ravi Kanth A.S.V. Aruna K. |
| author_sort | Ravi Kanth A.S.V. |
| collection | DOAJ |
| description | In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation. The method finds the solution without any discretization, transformation, or restrictive assumptions with the use of appropriate initial or boundary conditions. The efficiency and exactitude of the proposed methods are tested by means of three examples. |
| first_indexed | 2024-12-21T05:28:19Z |
| format | Article |
| id | doaj.art-0087a2d92cbf41b2bc7c902a1db32a67 |
| institution | Directory Open Access Journal |
| issn | 2192-8010 2192-8029 |
| language | English |
| last_indexed | 2024-12-21T05:28:19Z |
| publishDate | 2016-12-01 |
| publisher | De Gruyter |
| record_format | Article |
| series | Nonlinear Engineering |
| spelling | doaj.art-0087a2d92cbf41b2bc7c902a1db32a672022-12-21T19:14:36ZengDe GruyterNonlinear Engineering2192-80102192-80292016-12-015426927610.1515/nleng-2016-0052Solution of time fractional Black-Scholes European option pricing equation arising in financial marketRavi Kanth A.S.V.0Aruna K.1Department of Mathematics, National Institute of Technology, Kurekshetra-136 119(Haryana), IndiaDepartment of Mathematics, School of Advanced Sciences, VIT University, Vellore, Tamilnadu, IndiaIn this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation. The method finds the solution without any discretization, transformation, or restrictive assumptions with the use of appropriate initial or boundary conditions. The efficiency and exactitude of the proposed methods are tested by means of three examples.https://doi.org/10.1515/nleng-2016-0052fractional black-scholes equationfractional differential transform methodmodified fractional differential transform method |
| spellingShingle | Ravi Kanth A.S.V. Aruna K. Solution of time fractional Black-Scholes European option pricing equation arising in financial market Nonlinear Engineering fractional black-scholes equation fractional differential transform method modified fractional differential transform method |
| title | Solution of time fractional Black-Scholes European option pricing equation arising in financial market |
| title_full | Solution of time fractional Black-Scholes European option pricing equation arising in financial market |
| title_fullStr | Solution of time fractional Black-Scholes European option pricing equation arising in financial market |
| title_full_unstemmed | Solution of time fractional Black-Scholes European option pricing equation arising in financial market |
| title_short | Solution of time fractional Black-Scholes European option pricing equation arising in financial market |
| title_sort | solution of time fractional black scholes european option pricing equation arising in financial market |
| topic | fractional black-scholes equation fractional differential transform method modified fractional differential transform method |
| url | https://doi.org/10.1515/nleng-2016-0052 |
| work_keys_str_mv | AT ravikanthasv solutionoftimefractionalblackscholeseuropeanoptionpricingequationarisinginfinancialmarket AT arunak solutionoftimefractionalblackscholeseuropeanoptionpricingequationarisinginfinancialmarket |