[PDF] Top 20 A universal difference method for time space fractional Black Scholes equation
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A universal difference method for time space fractional Black Scholes equation
... the time-space fractional B-S option pricing modeling and the feasibility of the universal difference scheme method for solving the time-space fractional B-S ... See full document
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Analytical Solution of the Time-fractional Order Black-Scholes Model for Stock Option Valuation on No Dividend Yield Basis
... the time-fractional Black-Scholes equation for European call option via a proposed relatively new semi-analytic technique hereby referred to as Projected Differential Transform ... See full document
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Fractional Difference Approximations for Time Fractional Telegraph Equation
... In fact, there are lots of authors who have studied the fractional telegraph eq- uation. E. Orsingher and X. Zhao [2] used the Fourier transform methods to studied the space-fractional telegraph ... See full document
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Finite Element Method for a Kind of Two Dimensional Space Fractional Diffusion Equation with Its Implementation
... symmetric space-fractional convection-diffusion equation (including both left and right derivatives) was firstly proposed by Chaves [13] to investigate the mechanism of super-diffusion and was later ... See full document
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Pseudo Spectral Method for Space Fractional Diffusion Equation
... collocation method (often called pseudo-spectral) is used in this ...spatial fractional de- rivatives are easily computed and a system of ordinary differential equations in time can be ...Runge-Kutta ... See full document
8
Difference numerical solutions for time-space fractional advection diffusion equation
... A time-space fractional advection diffusion equation is studied in this ...difference method, an explicit difference scheme and an implicit difference scheme are ...some fractional ... See full document
11
Investigation for Stability of Fractional Explicit Method for pricing option
... of fractional diffusion models have been increasingly noticeable in ...the time fractional diffusion equation in whole space and also in half ...the time fractional ... See full document
7
Finance, risk and economic space
... economic space notion. Economic space is defined as generalization of risk ratings and allows boost methods and description of financial ...of time and coordinates on economic ...economic ... See full document
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A conservative difference scheme for the Riesz space fractional sine Gordon equation
... on fractional-order ...position method and Fourier transform to approximate the solution of a fractional ...the fractional SGE is found numerically by using the approach that is called ... See full document
22
Approximate Solution For Time-Space Fractional Soil Moisture Diffusion Equation And Its Application
... finite difference methods (Liu, et ...etc. Fractional diffusion equations have been topic of interest, studied by many researchers for developing fractional order finite difference ...the ... See full document
6
The Line Method Combined with Spectral Chebyshev for Space-Time Fractional Diffusion Equation
... When time dependent PDEs are solved numerically by spectral methods[1, 2], the pattern is usually the same: employ spectral treatment to space dependency and use finite difference in time or ... See full document
7
Barrier options pricing of fractional version of the Black-Scholes model
... at time t, T is the maturity, r(t) is the risk free interest rate and σ(S, t) represents the volatility function of underlying ...The fractional calculus is used in many fields of science and ... See full document
8
An adaptive moving mesh method for a time fractional Black–Scholes equation
... The remainder of the paper is organized as follows. Some theoretical results on the con- tinuous time-fractional B–S equation are described in Sect. 2. The discretization scheme is derived in Sect. ... See full document
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A class of intrinsic parallel difference methods for time space fractional Black–Scholes equation
... the fractional Black–Scholes (B–S) equation in the option pricing problems, in this paper, we construct pure alternative segment explicit–implicit (PASE-I) and pure alternative segment ... See full document
19
The Operator Splitting Method for Black Scholes Equation
... underlying time- and space-dis- cretization approach for our coupled system of Black- Sholes equation given in ...discretizing time and space variables. Here, the balance between ... See full document
8
Fractional governing equations of transient groundwater flow in confined aquifers with multi-fractional dimensions in fractional time
... in time and space are ...among time–space locations that are sep- arated by substantial distances in time or space, the local- scale conventional governing flow equations for ... See full document
9
Exact traveling wave solutions of the space–time fractional complex Ginzburg–Landau equation and the space time fractional Phi 4 equation using reliable methods
... The investigation of exact solutions of nonlinear partial differential equations (NPDEs) plays an important role in study of physical phenomena in various scientific and engi- neering fields, such as biology, chemical ... See full document
23
Analytical study for time and time space fractional Burgers’ equation
... the time and space-time fractional Burgers’ ...the space-time fractional Burgers’ equation by ...the time fractional Burgers’ equation and the ... See full document
15
The Traveling Wave Solutions of Space Time Fractional Differential Equation Using Fractional Riccati Expansion Method
... the fractional differential equations to the ordinary differential equations by using formulae (4) and (5), with the help of solving ordinary differential equations, the traveling wave solutions of ... See full document
11
A new fractional sub-equation method for solving the space-time fractional differential equations in mathematical physics
... new fractional sub-equation method is proposed for finding exact solutions of fractional partial differential equations (FPDEs) in the sense of modi- fied Riemann-Liouville ...the ... See full document
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