A study on existence and global asymptotical mittag-leffler stability of fractional black-scholes european option pricing equation
In this paper, the application of asymptotic expansion method on fractional perturbated equations are studied. Furthermore, the proposed scheme is employed to obtain an analytical solution of fractional BlackScholes equation for a European option pricing problem. Finally, the asymptotical Mittag-Lef...
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| Format: | Article |
| Language: | English |
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University of Mohaghegh Ardabili
2014-12-01
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| Series: | Journal of Hyperstructures |
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| Online Access: | https://jhs.uma.ac.ir/article_2586_6a57105ba1a346b2ca6d76f873152921.pdf |
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| author | Khosro Sayevand |
| author_facet | Khosro Sayevand |
| author_sort | Khosro Sayevand |
| collection | DOAJ |
| description | In this paper, the application of asymptotic expansion method on fractional perturbated equations are studied. Furthermore, the proposed scheme is employed to obtain an analytical solution of fractional BlackScholes equation for a European option pricing problem. Finally, the asymptotical Mittag-Leffler stability of this problem will be discussed. |
| format | Article |
| id | doaj-art-787e7c416e234af489697f0ee2f815e7 |
| institution | Kabale University |
| issn | 2251-8436 2322-1666 |
| language | English |
| publishDate | 2014-12-01 |
| publisher | University of Mohaghegh Ardabili |
| record_format | Article |
| series | Journal of Hyperstructures |
| spelling | doaj-art-787e7c416e234af489697f0ee2f815e72025-08-20T03:28:56ZengUniversity of Mohaghegh ArdabiliJournal of Hyperstructures2251-84362322-16662014-12-013212613810.22098/jhs.2014.25862586A study on existence and global asymptotical mittag-leffler stability of fractional black-scholes european option pricing equationKhosro Sayevand0Faculty of Mathematical Sciences, University of Malayer, P. O. Box 65718-18164, Malayer, IranIn this paper, the application of asymptotic expansion method on fractional perturbated equations are studied. Furthermore, the proposed scheme is employed to obtain an analytical solution of fractional BlackScholes equation for a European option pricing problem. Finally, the asymptotical Mittag-Leffler stability of this problem will be discussed.https://jhs.uma.ac.ir/article_2586_6a57105ba1a346b2ca6d76f873152921.pdffractional equationblackscholes equationmittag-leffler stability |
| spellingShingle | Khosro Sayevand A study on existence and global asymptotical mittag-leffler stability of fractional black-scholes european option pricing equation Journal of Hyperstructures fractional equation blackscholes equation mittag-leffler stability |
| title | A study on existence and global asymptotical mittag-leffler stability of fractional black-scholes european option pricing equation |
| title_full | A study on existence and global asymptotical mittag-leffler stability of fractional black-scholes european option pricing equation |
| title_fullStr | A study on existence and global asymptotical mittag-leffler stability of fractional black-scholes european option pricing equation |
| title_full_unstemmed | A study on existence and global asymptotical mittag-leffler stability of fractional black-scholes european option pricing equation |
| title_short | A study on existence and global asymptotical mittag-leffler stability of fractional black-scholes european option pricing equation |
| title_sort | study on existence and global asymptotical mittag leffler stability of fractional black scholes european option pricing equation |
| topic | fractional equation blackscholes equation mittag-leffler stability |
| url | https://jhs.uma.ac.ir/article_2586_6a57105ba1a346b2ca6d76f873152921.pdf |
| work_keys_str_mv | AT khosrosayevand astudyonexistenceandglobalasymptoticalmittaglefflerstabilityoffractionalblackscholeseuropeanoptionpricingequation AT khosrosayevand studyonexistenceandglobalasymptoticalmittaglefflerstabilityoffractionalblackscholeseuropeanoptionpricingequation |