Numerical solution of ψ-Hilfer fractional Black–Scholes equations via space–time spectral collocation method

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...

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Bibliographic Details
Main Authors: F. Mohammadizadeh, S.G. Georgiev, G. Rozza, E. Tohidi, S. Shateyi
Format: Article
Language:English
Published: Elsevier 2023-05-01
Series:Alexandria Engineering Journal
Subjects:
26A33
34A08
34A30
Online Access:http://www.sciencedirect.com/science/article/pii/S1110016823001680

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