Edeki, S.O. and Akinlabi, G. O. and Egara, F. O. and Nzeadibe, A. C. (2020) Time-fractional classical Black-Scholes option pricing model via He-separation of variable transformation method for exact solutions. In: MMCTSE, 2020, Online.
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Abstract
This paper considers the exact solutions of the time-fractional classical Black- Scholes option pricing model through the application of a method known as He-Separation of Variable Transformation Method (HSVTM). The HSVTM combines the basic properties of the He’s polynomials, the Homo-separation variable, the modified DTM, which increases the efficiency and effectiveness of the proposed method. The proposed method is direct and straight forward. Hence, it is recommended for obtaining solutions to financial models resulting from either Ito or Stratonovich Stochastic Differential Equations (SDEs).
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | Mrs Patricia Nwokealisi |
| Date Deposited: | 01 Jun 2022 12:51 |
| Last Modified: | 01 Jun 2022 12:51 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/15917 |
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