Closed-form Solutions of the Time-fractional Standard Black-Scholes Model for Option Pricing using He-separation of Variable Approach

Edeki, S.O.; Akinlabi, G. O.; Egara, F. O.; Nzeadibe, Augustina Chinyere

doi:10.37394/232015.2020.16.17

Cited by 6 publications

(1 citation statement)

References 30 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Space and time-fractional Burgers' differential equation was first treated by Momani [1]. The coupled system of time-fractional derivatives of non-homogeneous Burgers' equations is solved by the fractional homotopy analysis transform method [15] , and the 1D time-fractional coupled Burger equation is solved analytically via fractional complex transform [16] . In the polydispersive case , Esipove [13] , introduced a system of the coupled Burgers equations .…”

Section: Issn: 0067-2904mentioning

confidence: 99%

Solving Inverse System of Time-Fractional Burgers Equation

Erfanian,

Zeidabadi,

Hosseinnezhad

2024

Iraqi Journal of Science

View full text Add to dashboard Cite

Applying the finite difference method for the time discretization . We present a numerical method to approximate the inverse system of Burgers equations (ISBE) with the time-fractional . By using the finite difference formula and extended cubic B-splines collocation method (EXCBSM) , we determine the approximated solution of this inverse system problem . The convergence analysis is investigated and the order of convergence is obtained . The advantage of this study is comparing it with the other method such as the cubic B-spline collocation method . Also , to clarify the presented method , figures and comparisons of the approximate solutions with the exact value have been presented . Finally , the diagrams of errors for our methods are shown in the figures .

show abstract

Section: Issn: 0067-2904mentioning

confidence: 99%

Solving Inverse System of Time-Fractional Burgers Equation

Erfanian,

Zeidabadi,

Hosseinnezhad

2024

Iraqi Journal of Science

View full text Add to dashboard Cite

show abstract

A bibliographic overview of financial engineering in the emerging financial market

Jena,

Biswal,

Shrivastava

et al. 2023

Int J Syst Assur Eng Manag

View full text Add to dashboard Cite

Foundations and trends in option pricing models: a 45 years global examination based on bibliometric analysis

Nisha,

Puri,

Rajput

et al. 2024

QRFM

View full text Add to dashboard Cite

Purpose The purpose of this study is to analyse and compile the literature on various option pricing models (OPM) or methodologies. The report highlights the gaps in the existing literature review and builds recommendations for potential scholars interested in the subject area. Design/methodology/approach In this study, the researchers used a systematic literature review procedure to collect data from Scopus. Bibliometric and structured network analyses were used to examine the bibliometric properties of 864 research documents. Findings As per the findings of the study, publication in the field has been increasing at a rate of 6% on average. This study also includes a list of the most influential and productive researchers, frequently used keywords and primary publications in this subject area. In particular, Thematic map and Sankey’s diagram for conceptual structure and for intellectual structure co-citation analysis and bibliographic coupling were used. Research limitations/implications Based on the conclusion presented in this paper, there are several potential implications for research, practice and society. Practical implications This study provides useful insights for future research in the area of OPM in financial derivatives. Researchers can focus on impactful authors, significant work and productive countries and identify potential collaborators. The study also highlights the commonly used OPMs and emerging themes like machine learning and deep neural network models, which can inform practitioners about new developments in the field and guide the development of new models to address existing limitations. Social implications The accurate pricing of financial derivatives has significant implications for society, as it can impact the stability of financial markets and the wider economy. The findings of this study, which identify the most commonly used OPMs and emerging themes, can help improve the accuracy of pricing and risk management in the financial derivatives sector, which can ultimately benefit society as a whole. Originality/value It is possibly the initial effort to consolidate the literature on calibration on option price by evaluating and analysing alternative OPM applied by researchers to guide future research in the right direction.

show abstract

Closed-form Solutions of the Time-fractional Standard Black-Scholes Model for Option Pricing using He-separation of Variable Approach

Cited by 6 publications

References 30 publications

Solving Inverse System of Time-Fractional Burgers Equation

Solving Inverse System of Time-Fractional Burgers Equation

A bibliographic overview of financial engineering in the emerging financial market

Foundations and trends in option pricing models: a 45 years global examination based on bibliometric analysis

Contact Info

Product

Resources

About