A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial Market
Fractional differential equation has been introduced to the financial theory, which presents new ideas and tools for the theoretical researches and the practical applications. In the work, an approximate semianalytical solution of the time-fractional European option pricing model is derived using th...
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| Format: | Article |
| Language: | English |
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Wiley
2018-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2018/1872409 |
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| _version_ | 1849412795190214656 |
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| author | Lina Song |
| author_facet | Lina Song |
| author_sort | Lina Song |
| collection | DOAJ |
| description | Fractional differential equation has been introduced to the financial theory, which presents new ideas and tools for the theoretical researches and the practical applications. In the work, an approximate semianalytical solution of the time-fractional European option pricing model is derived using the method of combining the enhanced technique of Adomian decomposition method with the finite difference method. And then the result is introduced in China’s financial market. The work makes every effort to test the feasibility of the fractional derivative model in the actual financial market. |
| format | Article |
| id | doaj-art-547d2cd674b24d0f9458697a17085df2 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-547d2cd674b24d0f9458697a17085df22025-08-20T03:34:20ZengWileyComplexity1076-27871099-05262018-01-01201810.1155/2018/18724091872409A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial MarketLina Song0School of Mathematics, Dongbei University of Finance and Economics, Dalian 116025, ChinaFractional differential equation has been introduced to the financial theory, which presents new ideas and tools for the theoretical researches and the practical applications. In the work, an approximate semianalytical solution of the time-fractional European option pricing model is derived using the method of combining the enhanced technique of Adomian decomposition method with the finite difference method. And then the result is introduced in China’s financial market. The work makes every effort to test the feasibility of the fractional derivative model in the actual financial market.http://dx.doi.org/10.1155/2018/1872409 |
| spellingShingle | Lina Song A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial Market Complexity |
| title | A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial Market |
| title_full | A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial Market |
| title_fullStr | A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial Market |
| title_full_unstemmed | A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial Market |
| title_short | A Semianalytical Solution of the Fractional Derivative Model and Its Application in Financial Market |
| title_sort | semianalytical solution of the fractional derivative model and its application in financial market |
| url | http://dx.doi.org/10.1155/2018/1872409 |
| work_keys_str_mv | AT linasong asemianalyticalsolutionofthefractionalderivativemodelanditsapplicationinfinancialmarket AT linasong semianalyticalsolutionofthefractionalderivativemodelanditsapplicationinfinancialmarket |