| Autor: |
Akram, Tayyaba, Abbas, Muhammad, Ismail, Ahmad Izani, Sabri, Shamsul Rijal Muhammad, Noor, Norlida Mohd |
| Předmět: |
|
| Zdroj: |
AIP Conference Proceedings; 2021, Vol. 2423 Issue 1, p1-7, 7p |
| Abstrakt: |
Financial theory can incorporate fractional differential equation, which provides new concepts and methods for theoret- ical analysis and practical implementations. In this research, a numerical method to solve time fractional Black-Scholes European option pricing model is developed and applied using extended cubic B-spline and Caputo fractional derivative. The numerical and graphical results shows that the option prices from the proposed technique agree well with the analytical solution. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
|
