ชื่องานวิจัย ( Article Name )
31
A numerical solution of fractional Black-Scholes equation
บทคัดย่อ ( Abstract )
The Black-Scholes equation is the famous financial model that relates with an option. Nowadays, a fractional calculus is an excellent tool for solving problems in many vital fields. A fractional differential equation are widely used for many research with continuous and discrete approaches. In this research, the fractional Black-Scholes equation in financial problem is solved by using the numerical method. This equation is a fractional partial differential equation for the option price of a European call or European put under the Black-Scholes model. The implicit finite difference method and MLPG2 are used for discretizing the governing equation in time variable and option price, respectively. The time fractional derivative uses the Caputo partial derivative of fractional order
เเอกสารบทความวิจัย ( Paper )
ผู้เขียน ( Authors )
- ประเสริฐ เผ่าชู
- อนิรุท ลวดทรง
ข้อมูลวารสาร ( Proceeding Infomation )
ข้อมูลการประชุม
วันที่อัพเดตข้อมูลล่าสุด
2017-08-04 11:31:17