Series form solutions of time–space fractional Black–Scholes model via extended He-Aboodh algorithm

Series form solutions of time–space fractional Black–Scholes model via extended He-Aboodh algorithm

The objective of the current study is analyze linear and nonlinear time–space fractional Black–Scholes models via modified homotopy perturbation method (m-HPM). In current investigation, memory effects in financial markets are explored through fractional derivative in Caputo sense. The effectiveness...

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Bibliographic Details
Main Authors: Mubashir Qayyum, Efaza Ahmad, Ferdous M. Tawfiq, Zabidin Salleh, Syed Tauseef Saeed, Mustafa Inc
Format: Article
Language:English
Published: Elsevier 2024-12-01
Series:Alexandria Engineering Journal
Subjects:
Modified homotopy perturbation method
Fractional Black–Scholes models
Caputo fractional derivative
Online Access:http://www.sciencedirect.com/science/article/pii/S1110016824009438
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