Browsing by Author "Chakraverty, S."

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Citation Count: Jena, R.M.; Chakraverty, S.; Baleanu, D.,"A Novel Analytical Technique for the Solution of Time-Fractional Ivancevic Option Pricing Model", Physica A: Statistical Mechanics and Its Applications, Vol. 550, (2020).
A Novel Analytical Technique for the Solution of Time-Fractional Ivancevic Option Pricing Model
(Elsevier B.V., 2020) Jena, Rajarama Mohan; Chakraverty, S.; Baleanu, Dumitru; 56389
The Ivancevic option pricing model is an alternative of the standard Black–Scholes pricing equation, which signifies a controlled Brownian motion related to the nonlinear Schrodinger equation. Even though many researchers have studied the applicability and practicality of this model, but the analytical approach of this model is rarely found in the literature. In this paper, a novel semi-analytical technique called fractional reduced differential transform method has been applied to solve the Schrodinger type option pricing model, which is characterized by the time-fractional derivative. Two problems are explained to validate and prove the effectiveness of the proposed technique. Obtained results are compared with the solution of other existing methods for a particular case. This comparison shows that the attained results are in good agreement with the existing solutions.
Citation Count: Edeki, S. O...et al. (2020). "Coupled transform method for time-space fractional Black-Scholes option pricing model", Alexandria Engineering Journal, Vol. 59, No. 5, pp. 3239-3246.
Coupled transform method for time-space fractional Black-Scholes option pricing model
(2020) Edeki, S. O.; Jena, R. M; Chakraverty, S.; Baleanu, Dumitru; 56389
This paper presents analytical solutions of a time-space-fractional Black-Scholes model (TSFBSM) using a coupled technique referred to as Fractional Complex Transform (FCT) with the aid of a modified differential transform method. The nature of the derivatives is in the sense of Jumarie. The considered cases and applications show more consistency of the TSFBSM with an actual integer and fractional data when compared with the classical Black-Scholes model. The method is noted to be very effective, even with little knowledge of fractional calculus. Extension of this to multi-factor models formulated in terms of stochastic dynamics is highly recommended. (C) 2020 The Authors. Published by Elsevier B.V. on behalf of Faculty of Engineering, Alexandria University.