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Review of the fractional Black-Scholes equations and their solution techniques
H Zhang, M Zhang, F Liu, M Shen - Fractal and Fractional, 2024 - mdpi.com
The pioneering work in finance by Black, Scholes and Merton during the 1970s led to the
emergence of the Black-Scholes (BS) equation, which offers a concise and transparent …
emergence of the Black-Scholes (BS) equation, which offers a concise and transparent …
L3 approximation of Caputo derivative and its application to time-fractional wave equation-(I)
In this manuscript, first of all, we have developed two novel numerical approximations
(called L3 and ML3 approximation) of the Caputo fractional derivative of order α∈(1, 2). We …
(called L3 and ML3 approximation) of the Caputo fractional derivative of order α∈(1, 2). We …
Wavelets based computational algorithms for multidimensional distributed order fractional differential equations with nonlinear source term
In this manuscript we provide effective computational algorithms based on Legendre
wavelet (LW), Bernstein wavelet (BW), and standard tau approach to approximate the …
wavelet (LW), Bernstein wavelet (BW), and standard tau approach to approximate the …
A high order numerical method for the variable order time-fractional reaction-subdiffusion equation
In this paper, we present a high order new numerical approximation for variable order
Caputo fractional derivative of order 0< α (x, t)< 1, by using the idea of interpolation. Then, by …
Caputo fractional derivative of order 0< α (x, t)< 1, by using the idea of interpolation. Then, by …
Designing an efficient algorithm for fractional partial integro-differential viscoelastic equations with weakly singular kernel
In this paper, the discretization method is developed by means of Mott-fractional Mott
functions (MFM-Fs) for solving fractional partial integro-differential viscoelastic equations …
functions (MFM-Fs) for solving fractional partial integro-differential viscoelastic equations …
Higher Order Stable Numerical Algorithm for the Variable Order Time-Fractional Sub-diffusion Equation
In the present work, we proposed a numerical scheme for solving the Variable order time
fractional sub-diffusion equation (VOTFSDE) by finite difference method. The variable order …
fractional sub-diffusion equation (VOTFSDE) by finite difference method. The variable order …
[ЦИТИРОВАНИЕ][C] Approximation techniques and algorithms for the fractional order mathematical models
N Srivastava - 2023 - IIT (BHU) Varanasi