Numerical solution of ψ-Hilfer fractional Black–Scholes equations via space–time spectral collocation method

Trivially, the time-fractional Black–Scholes (FBS) equation is utilized to describe the behavior of the option pricing in financial markets. This work is intended as an attempt to introduce the ψ-Hilfer fractional Black–Scholes (ψ-HFBS) equation. First, we concentrate on demonstrating the existence...

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Hlavní autoři:	F. Mohammadizadeh, S.G. Georgiev, G. Rozza, E. Tohidi, S. Shateyi
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	Elsevier 2023-05-01
Edice:	Alexandria Engineering Journal
Témata:	26A33 34A08 34A30
On-line přístup:	http://www.sciencedirect.com/science/article/pii/S1110016823001680
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