Numerical solution of ψ-Hilfer fractional Black–Scholes equations via space–time spectral collocation method
Trivially, the time-fractional Black–Scholes (FBS) equation is utilized to describe the behavior of the option pricing in financial markets. This work is intended as an attempt to introduce the ψ-Hilfer fractional Black–Scholes (ψ-HFBS) equation. First, we concentrate on demonstrating the existence...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-05-01
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| Series: | Alexandria Engineering Journal |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1110016823001680 |