Browsing Matematik Bölümü by Author "Chakraverty, S."

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A Novel Analytical Technique for the Solution of Time-Fractional Ivancevic Option Pricing Model

Jena, Rajarama Mohan; Chakraverty, S.; Baleanu, Dumitru (Elsevier B.V., 2020-07-15)

The Ivancevic option pricing model is an alternative of the standard Black–Scholes pricing equation, which signifies a controlled Brownian motion related to the nonlinear Schrodinger equation. Even though many researchers ...
Coupled transform method for time-space fractional Black-Scholes option pricing model

Edeki, S. O.; Jena, R. M; Chakraverty, S.; Baleanu, Dumitru (2020-10)

This paper presents analytical solutions of a time-space-fractional Black-Scholes model (TSFBSM) using a coupled technique referred to as Fractional Complex Transform (FCT) with the aid of a modified differential transform ...

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