Coupled Transform Method for Time-Space Fractional Black-Scholes Option Pricing Model
| dc.contributor.author | Jena, R. M. | |
| dc.contributor.author | Chakraverty, S. | |
| dc.contributor.author | Baleanu, D. | |
| dc.contributor.author | Edeki, S. O. | |
| dc.contributor.authorID | 56389 | tr_TR |
| dc.contributor.other | 02.02. Matematik | |
| dc.contributor.other | 02. Fen-Edebiyat Fakültesi | |
| dc.contributor.other | 01. Çankaya Üniversitesi | |
| dc.date.accessioned | 2022-03-30T11:47:33Z | |
| dc.date.accessioned | 2025-09-18T12:04:40Z | |
| dc.date.available | 2022-03-30T11:47:33Z | |
| dc.date.available | 2025-09-18T12:04:40Z | |
| dc.date.issued | 2020 | |
| dc.description | Jena, Rajarama Mohan/0000-0002-6751-8491 | en_US |
| dc.description.abstract | 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. | en_US |
| dc.description.publishedMonth | 10 | |
| dc.description.sponsorship | Department of Science and Technology of the Government of India [IF170207] | en_US |
| dc.description.sponsorship | The first author thanks Covenant University for the provision of a good working environment. Also, the second-named author thanks the Department of Science and Technology of the Government of India regarding the provision of INSPIRE Fellowship (IF170207) for this research. | en_US |
| dc.identifier.citation | 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. | en_US |
| dc.identifier.doi | 10.1016/j.aej.2020.08.031 | |
| dc.identifier.issn | 1110-0168 | |
| dc.identifier.issn | 2090-2670 | |
| dc.identifier.scopus | 2-s2.0-85090587619 | |
| dc.identifier.uri | https://doi.org/10.1016/j.aej.2020.08.031 | |
| dc.identifier.uri | https://hdl.handle.net/123456789/10414 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Option Pricing | en_US |
| dc.subject | Black Scholes Model | en_US |
| dc.subject | Rdtm | en_US |
| dc.subject | Fractional Derivative | en_US |
| dc.subject | Analytical Solutions | en_US |
| dc.title | Coupled Transform Method for Time-Space Fractional Black-Scholes Option Pricing Model | en_US |
| dc.title | Coupled transform method for time-space fractional Black-Scholes option pricing model | tr_TR |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | Jena, Rajarama Mohan/0000-0002-6751-8491 | |
| gdc.author.institutional | Baleanu, Dumitru | |
| gdc.author.scopusid | 56181582400 | |
| gdc.author.scopusid | 57207742143 | |
| gdc.author.scopusid | 7005011457 | |
| gdc.author.scopusid | 7005872966 | |
| gdc.author.wosid | Jena, Rajarama/W-7897-2019 | |
| gdc.author.wosid | Baleanu, Dumitru/B-9936-2012 | |
| gdc.author.wosid | Chakraverty, Snehashish/E-4687-2011 | |
| gdc.description.department | Çankaya University | en_US |
| gdc.description.departmenttemp | [Edeki, S. O.] Covenant Univ, Dept Math, Ota, Nigeria; [Jena, R. M.; Chakraverty, S.] Natl Inst Technol, Dept Math, Rourkela, India; [Baleanu, D.] Cankaya Univ, Fac Art & Sci, Dept Math, TR-06530 Ankara, Turkey; [Baleanu, D.] Inst Space Sci, Magurele 077125, Romania | en_US |
| gdc.description.endpage | 3246 | en_US |
| gdc.description.issue | 5 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.scopusquality | Q1 | |
| gdc.description.startpage | 3239 | en_US |
| gdc.description.volume | 59 | en_US |
| gdc.description.woscitationindex | Science Citation Index Expanded | |
| gdc.description.wosquality | Q1 | |
| gdc.identifier.openalex | W3085291162 | |
| gdc.identifier.wos | WOS:000576873000012 | |
| gdc.openalex.fwci | 0.53396443 | |
| gdc.openalex.normalizedpercentile | 0.75 | |
| gdc.opencitations.count | 19 | |
| gdc.plumx.crossrefcites | 26 | |
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