A Novel Analytical Technique for the Solution of Time-Fractional Ivancevic Option Pricing Model
| dc.contributor.author | Chakraverty, Snehashish | |
| dc.contributor.author | Baleanu, Dumitru | |
| dc.contributor.author | Jena, Rajarama Mohan | |
| dc.date.accessioned | 2020-05-01T04:06:25Z | |
| dc.date.accessioned | 2025-09-18T16:08:17Z | |
| dc.date.available | 2020-05-01T04:06:25Z | |
| dc.date.available | 2025-09-18T16:08:17Z | |
| dc.date.issued | 2020 | |
| dc.description | Jena, Rajarama Mohan/0000-0002-6751-8491 | en_US |
| dc.description.abstract | 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. (C) 2020 Published by Elsevier B.V. | en_US |
| dc.description.sponsorship | Department of Science and Technology [IF170207] | en_US |
| dc.description.sponsorship | The first author would like to acknowledge the Department of Science and Technology, Govt. of India for giving INSPIRE fellowship (IF170207) to carry out the present study. | en_US |
| dc.identifier.citation | 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). | en_US |
| dc.identifier.doi | 10.1016/j.physa.2020.124380 | |
| dc.identifier.issn | 0378-4371 | |
| dc.identifier.issn | 1873-2119 | |
| dc.identifier.scopus | 2-s2.0-85082773787 | |
| dc.identifier.uri | https://doi.org/10.1016/j.physa.2020.124380 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12416/15010 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.relation.ispartof | Physica A: Statistical Mechanics and its Applications | |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Black-Scholes Model | en_US |
| dc.subject | Frdtm | en_US |
| dc.subject | Ivancevic Model | en_US |
| dc.subject | Fractional Derivative | en_US |
| dc.title | A Novel Analytical Technique for the Solution of Time-Fractional Ivancevic Option Pricing Model | en_US |
| dc.title | A Novel Analytical Technique for the Solution of Time-Fractional Ivancevic Option Pricing Model | tr_TR |
| dc.type | Article | en_US |
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| gdc.author.id | Jena, Rajarama Mohan/0000-0002-6751-8491 | |
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| gdc.author.wosid | Baleanu, Dumitru/B-9936-2012 | |
| gdc.author.wosid | Jena, Rajarama/W-7897-2019 | |
| gdc.author.wosid | Chakraverty, Snehashish/E-4687-2011 | |
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| gdc.description.department | Çankaya University | en_US |
| gdc.description.departmenttemp | [Jena, Rajarama Mohan; Chakraverty, Snehashish] Natl Inst Technol Rourkela, Dept Math, Rourkela 769008, India; [Baleanu, Dumitru] Cankaya Univ, Fac Art & Sci, Dept Math, TR-0630 Ankara, Turkey; [Baleanu, Dumitru] Inst Space Sci, Magurele, Romania | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
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| gdc.description.startpage | 124380 | |
| gdc.description.volume | 550 | en_US |
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| gdc.oaire.keywords | Derivative securities (option pricing, hedging, etc.) | |
| gdc.oaire.keywords | Numerical methods (including Monte Carlo methods) | |
| gdc.oaire.keywords | Ivancevic model | |
| gdc.oaire.keywords | Black-Scholes model | |
| gdc.oaire.keywords | Finite difference methods for initial value and initial-boundary value problems involving PDEs | |
| gdc.oaire.keywords | FRDTM | |
| gdc.oaire.keywords | fractional derivative | |
| gdc.oaire.keywords | Fractional partial differential equations | |
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