Fractional model and solution for the Black-Scholes equation
Sign Up to like & getrecommendations! Published in 2017 at "Mathematical Methods in The Applied Sciences"
DOI: 10.1002/mma.4638
Abstract: This work presents a new model of the fractional Black-Scholes equation by using the right fractional derivatives to model the terminal value problem. Through nondimensionalization and variable replacements, we convert the terminal value problem into… read more here.
Keywords: black scholes; value problem; model; scholes equation ... See more keywords
Invariant Solutions of Black-Scholes Equation with Ornstein-Uhlenbeck Process
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DOI: 10.3390/sym13050847
Abstract: This paper analyses the model of Black–Scholes option pricing from the point of view of the group theoretic approach. The study identified new independent variables that lead to the transformation of the Black–Scholes equation. Furthermore,… read more here.
Keywords: invariant solutions; black scholes; ornstein uhlenbeck; process ... See more keywords