DSpace Repository

Coupled transform method for time-space fractional Black-Scholes option pricing model

Show simple item record

dc.contributor.author Edeki, S. O.
dc.contributor.author Jena, R. M
dc.contributor.author Chakraverty, S.
dc.contributor.author Baleanu, Dumitru
dc.date.accessioned 2022-03-30T11:47:33Z
dc.date.available 2022-03-30T11:47:33Z
dc.date.issued 2020-10
dc.identifier.citation Edeki, S. O...et al. (2020). "Coupled transform method for time-space fractional Black-Scholes option pricing model", Alexandria Engineering Journal, Vol. 59, No. 5, pp. 3239-3246. tr_TR
dc.identifier.issn 2090-2670
dc.identifier.uri http://hdl.handle.net/20.500.12416/5225
dc.description.abstract 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 method. The nature of the derivatives is in the sense of Jumarie. The considered cases and applications show more consistency of the TSFBSM with an actual integer and fractional data when compared with the classical Black-Scholes model. The method is noted to be very effective, even with little knowledge of fractional calculus. Extension of this to multi-factor models formulated in terms of stochastic dynamics is highly recommended. (C) 2020 The Authors. Published by Elsevier B.V. on behalf of Faculty of Engineering, Alexandria University. tr_TR
dc.language.iso eng tr_TR
dc.relation.isversionof 10.1016/j.aej.2020.08.031 tr_TR
dc.rights info:eu-repo/semantics/openAccess tr_TR
dc.subject Option Pricing tr_TR
dc.subject Black Scholes Model tr_TR
dc.subject RDTM tr_TR
dc.subject Fractional Derivative tr_TR
dc.subject Analytical Solutions tr_TR
dc.title Coupled transform method for time-space fractional Black-Scholes option pricing model tr_TR
dc.type article tr_TR
dc.relation.journal Alexandria Engineering Journal tr_TR
dc.contributor.authorID 56389 tr_TR
dc.identifier.volume 59 tr_TR
dc.identifier.issue 5 tr_TR
dc.identifier.startpage 3239 tr_TR
dc.identifier.endpage 3246 tr_TR
dc.contributor.department Çankaya Üniversitesi, Fen - Edebiyat Fakültesi, Matematik Bölümü tr_TR


Files in this item

This item appears in the following Collection(s)

Show simple item record