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A Novel Analytical Technique for the Solution of Time-Fractional Ivancevic Option Pricing Model

dc.contributor.authorJena, Rajarama Mohan
dc.contributor.authorChakraverty, S.
dc.contributor.authorBaleanu, Dumitru
dc.contributor.authorID56389tr_TR
dc.date.accessioned2020-05-01T04:06:25Z
dc.date.available2020-05-01T04:06:25Z
dc.date.issued2020
dc.departmentÇankaya Üniversitesi, Fen Edebiyat Fakültesi, Matematik Bölümüen_US
dc.description.abstractThe 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.en_US
dc.description.publishedMonth7
dc.identifier.citationJena, 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.doi10.1016/j.physa.2020.124380
dc.identifier.issn3784371
dc.identifier.urihttp://hdl.handle.net/20.500.12416/3576
dc.identifier.volume550en_US
dc.language.isoenen_US
dc.publisherElsevier B.V.en_US
dc.relation.ispartofPhysica A: Statistical Mechanics and Its Applicationsen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectBlack–Scholes Modelen_US
dc.subjectFractional Derivativeen_US
dc.subjectFRDTMen_US
dc.subjectIvancevic Modelen_US
dc.titleA Novel Analytical Technique for the Solution of Time-Fractional Ivancevic Option Pricing Modeltr_TR
dc.titleA Novel Analytical Technique for the Solution of Time-Fractional Ivancevic Option Pricing Modelen_US
dc.typeArticleen_US
dspace.entity.typePublication

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