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 …

When considering the price change of the underlying fractal transmission system, a
fractional Black–Scholes (BS) model with an α-order time fractional derivative is derived. In …

This paper investigates the pricing of double barrier options when the price change of the
underlying is considered as a fractal transmission system. In this scenario, the option price is …

The variation in the option pricing of the fractal transmission system is modelled by the time
fractional Black–Scholes equation (TFBSE). This paper proposes an efficient local meshless …

In this paper, we introduce the stochastic volatility into the FMLS (finite moment log-stable)
model to capture the effect of both jumps and stochastic volatility. However, this additional …

The mathematical modeling in trade and finance issues is the key purpose in the
computation of the value and considering option during preferences in contract. This paper …

To price vanilla European and American options via the fractional Black–Scholes model, first
a (2− α)-order discretization scheme for the Caputo fractional derivative based upon graded …

In recent years, the Finite Moment Log Stable (FMLS), KoBoL and CGMY models, which
follow a jump process or a Lévy process, have become the most popular modeling …

In this study, we provide a numerical method to approximate the solution of the time
fractional Black-Sholes equation by applying the multiquadric (MQ) quasi-interpolation …

Abstract The Black–Scholes equation is one of the most important partial differential
equations governing the value of financial derivatives in financial markets. The Black …