Kazmi, Kamran A second order numerical method for the time-fractional Black-Scholes European option pricing model. (English) Zbl 1502.91058 J. Comput. Appl. Math. 418, Article ID 114647, 17 p. (2023). MSC: 91G60 65N06 65D25 65D30 65B05 35R09 35R11 35Q91 45K05 65R20 65M12 91G20 PDFBibTeX XMLCite \textit{K. Kazmi}, J. Comput. Appl. Math. 418, Article ID 114647, 17 p. (2023; Zbl 1502.91058) Full Text: DOI
Briest, Gordon; Lauven, Lars-Peter; Kupfer, Stefan; Lukas, Elmar Leaving well-worn paths: reversal of the investment-uncertainty relationship and flexible biogas plant operation. (English) Zbl 1506.91179 Eur. J. Oper. Res. 300, No. 3, 1162-1176 (2022). MSC: 91G50 90B50 PDFBibTeX XMLCite \textit{G. Briest} et al., Eur. J. Oper. Res. 300, No. 3, 1162--1176 (2022; Zbl 1506.91179) Full Text: DOI
Mandal, Hemanta; Bira, B.; Zeidan, D. Optimal algebra and power series solution of fractional Black-Scholes pricing model. (English) Zbl 1505.91387 Soft Comput. 25, No. 8, 6075-6082 (2021). MSC: 91G20 35R11 34A08 PDFBibTeX XMLCite \textit{H. Mandal} et al., Soft Comput. 25, No. 8, 6075--6082 (2021; Zbl 1505.91387) Full Text: DOI
Al-Nassir, Sadiq Dynamic analysis of a harvested fractional-order biological system with its discretization. (English) Zbl 1498.92144 Chaos Solitons Fractals 152, Article ID 111308, 9 p. (2021). MSC: 92D25 34A08 91B76 49K15 PDFBibTeX XMLCite \textit{S. Al-Nassir}, Chaos Solitons Fractals 152, Article ID 111308, 9 p. (2021; Zbl 1498.92144) Full Text: DOI
Wang, Yong; Nie, Rui; Ma, Xin; Liu, Zhibin; Chi, Pei; Wu, Wenqing; Guo, Binghong; Yang, Xinping; Zhang, Lifeng A novel Hausdorff fractional NGMC\((p,\mathrm{n})\) grey prediction model with grey wolf optimizer and its applications in forecasting energy production and conversion of China. (English) Zbl 1481.91132 Appl. Math. Modelling 97, 381-397 (2021). MSC: 91B74 90C59 PDFBibTeX XMLCite \textit{Y. Wang} et al., Appl. Math. Modelling 97, 381--397 (2021; Zbl 1481.91132) Full Text: DOI
Jiang, Xiaoying; Xu, Xiang On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options. (English) Zbl 1484.91518 Appl. Anal. 100, No. 15, 3145-3160 (2021). Reviewer: Deshna Loonker (Jodhpur) MSC: 91G60 65M06 65R20 35R11 45Q05 91G20 45B05 PDFBibTeX XMLCite \textit{X. Jiang} and \textit{X. Xu}, Appl. Anal. 100, No. 15, 3145--3160 (2021; Zbl 1484.91518) Full Text: DOI
Mesgarani, H.; Rashidinia, J.; Aghdam, Y. Esmaeelzade; Nikan, O. Numerical treatment of the space fractional advection-dispersion model arising in groundwater hydrology. (English) Zbl 1461.65248 Comput. Appl. Math. 40, No. 1, Paper No. 22, 17 p. (2021). MSC: 65M70 65M12 35Q92 86A05 91G20 PDFBibTeX XMLCite \textit{H. Mesgarani} et al., Comput. Appl. Math. 40, No. 1, Paper No. 22, 17 p. (2021; Zbl 1461.65248) Full Text: DOI
Dousseh, Paul Yaovi; Ainamon, Cyrille; Miwadinou, Clément Hodévèwan; Monwanou, Adjimon Vincent; Chabi Orou, Jean Bio Adaptive control of a new chaotic financial system with integer order and fractional order and its identical adaptive synchronization. (English) Zbl 1512.34110 Math. Probl. Eng. 2021, Article ID 5512094, 15 p. (2021). MSC: 34H10 91G45 93C40 PDFBibTeX XMLCite \textit{P. Y. Dousseh} et al., Math. Probl. Eng. 2021, Article ID 5512094, 15 p. (2021; Zbl 1512.34110) Full Text: DOI
Zhang, Chaojun; Wang, Xiaoqun; He, Zhijian Efficient importance sampling in quasi-Monte Carlo methods for computational finance. (English) Zbl 1461.65005 SIAM J. Sci. Comput. 43, No. 1, B1-B29 (2021). MSC: 65C05 65D30 91G20 91G60 PDFBibTeX XMLCite \textit{C. Zhang} et al., SIAM J. Sci. Comput. 43, No. 1, B1--B29 (2021; Zbl 1461.65005) Full Text: DOI
Balcı, Mehmet Ali Fractional interaction of financial agents in a stock market network. (English) Zbl 1524.91133 Appl. Math. Nonlinear Sci. 5, No. 1, 317-336 (2020). MSC: 91G45 45J05 26A33 PDFBibTeX XMLCite \textit{M. A. Balcı}, Appl. Math. Nonlinear Sci. 5, No. 1, 317--336 (2020; Zbl 1524.91133) Full Text: DOI
Jena, Rajarama Mohan; Chakraverty, Snehashish; Baleanu, Dumitru A novel analytical technique for the solution of time-fractional Ivancevic option pricing model. (English) Zbl 1492.91376 Physica A 550, Article ID 124380, 10 p. (2020). MSC: 91G20 91G60 65M06 35R11 PDFBibTeX XMLCite \textit{R. M. Jena} et al., Physica A 550, Article ID 124380, 10 p. (2020; Zbl 1492.91376) Full Text: DOI
Nualsaard, Naravadee; Luadsong, Anirut; Aschariyaphotha, Nitima The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method. (English) Zbl 1480.91319 Adv. Math. Phys. 2020, Article ID 1942762, 17 p. (2020). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G60 91G20 65D12 PDFBibTeX XMLCite \textit{N. Nualsaard} et al., Adv. Math. Phys. 2020, Article ID 1942762, 17 p. (2020; Zbl 1480.91319) Full Text: DOI
Balatif, O.; Boujallal, L.; Labzai, A.; Rachik, M. Stability analysis of a fractional-order model for abstinence behavior of registration on the electoral lists. (English) Zbl 1468.34060 Int. J. Differ. Equ. 2020, Article ID 4325640, 8 p. (2020). MSC: 34C60 91D10 34A08 34C05 34D20 34D05 PDFBibTeX XMLCite \textit{O. Balatif} et al., Int. J. Differ. Equ. 2020, Article ID 4325640, 8 p. (2020; Zbl 1468.34060) Full Text: DOI
Chen, Wen; Wang, Song A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing. (English) Zbl 1510.91180 Math. Comput. Simul. 171, 279-293 (2020). MSC: 91G60 65M06 35R11 PDFBibTeX XMLCite \textit{W. Chen} and \textit{S. Wang}, Math. Comput. Simul. 171, 279--293 (2020; Zbl 1510.91180) Full Text: DOI
He, Juan; Zhang, Aiqing Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing. (English) Zbl 1459.65197 Math. Probl. Eng. 2020, Article ID 1393456, 9 p. (2020). MSC: 65M70 35R11 91G60 35Q91 PDFBibTeX XMLCite \textit{J. He} and \textit{A. Zhang}, Math. Probl. Eng. 2020, Article ID 1393456, 9 p. (2020; Zbl 1459.65197) Full Text: DOI
Soradi-Zeid, Samaneh; Jahanshahi, Hadi; Yousefpour, Amin; Bekiros, Stelios King algorithm: a novel optimization approach based on variable-order fractional calculus with application in chaotic financial systems. (English) Zbl 1434.65084 Chaos Solitons Fractals 132, Article ID 109569, 9 p. (2020). MSC: 65K10 65L03 49M25 34A08 45D05 91G80 PDFBibTeX XMLCite \textit{S. Soradi-Zeid} et al., Chaos Solitons Fractals 132, Article ID 109569, 9 p. (2020; Zbl 1434.65084) Full Text: DOI
Teng, Yue; Shang, Pengjian; He, Jiayi Multiscale fractional-order approximate entropy analysis of financial time series based on the cumulative distribution matrix. (English) Zbl 1431.91299 Nonlinear Dyn. 97, No. 2, 1067-1085 (2019). MSC: 91B84 26A33 37N40 94A17 PDFBibTeX XMLCite \textit{Y. Teng} et al., Nonlinear Dyn. 97, No. 2, 1067--1085 (2019; Zbl 1431.91299) Full Text: DOI
Rehman, Hameed Ur; Darus, Maslina; Salah, Jamal A note on Caputo’s derivative operator interpretation in economy. (English) Zbl 1437.91125 J. Appl. Math. 2018, Article ID 1260240, 7 p. (2018). MSC: 91B02 26A33 PDFBibTeX XMLCite \textit{H. U. Rehman} et al., J. Appl. Math. 2018, Article ID 1260240, 7 p. (2018; Zbl 1437.91125) Full Text: DOI
Jordanova, Pavlina; Kiseľák, Jozef; Stehlík, Milan Log-gamma motion as flexible model for generalized interest rates. (English) Zbl 1390.91309 Stochastic Anal. Appl. 36, No. 3, 373-392 (2018). MSC: 91G30 PDFBibTeX XMLCite \textit{P. Jordanova} et al., Stochastic Anal. Appl. 36, No. 3, 373--392 (2018; Zbl 1390.91309) Full Text: DOI Link
Goulart, A. G. O.; Lazo, M. J.; Suarez, J. M. S.; Moreira, D. M. Fractional derivative models for atmospheric dispersion of pollutants. (English) Zbl 1495.91079 Physica A 477, 9-19 (2017). MSC: 91B76 26A33 34A08 PDFBibTeX XMLCite \textit{A. G. O. Goulart} et al., Physica A 477, 9--19 (2017; Zbl 1495.91079) Full Text: DOI arXiv
Chen, Wen; Wang, Song A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing. (English) Zbl 1411.91617 Appl. Math. Comput. 305, 174-187 (2017). MSC: 91G60 91G20 35R11 35Q91 PDFBibTeX XMLCite \textit{W. Chen} and \textit{S. Wang}, Appl. Math. Comput. 305, 174--187 (2017; Zbl 1411.91617) Full Text: DOI
Chen, Wen; Wang, Song A 2nd-order FDM for a 2D fractional Black-Scholes equation. (English) Zbl 1367.91191 Dimov, Ivan (ed.) et al., Numerical analysis and its applications. 6th international conference, NAA 2016, Lozenetz, Bulgaria, June 15–22, 2016. Revised selected papers. Cham: Springer (ISBN 978-3-319-57098-3/pbk; 978-3-319-57099-0/ebook). Lecture Notes in Computer Science 10187, 46-57 (2017). MSC: 91G60 65M06 65M12 91G20 35R11 35Q91 PDFBibTeX XMLCite \textit{W. Chen} and \textit{S. Wang}, Lect. Notes Comput. Sci. 10187, 46--57 (2017; Zbl 1367.91191) Full Text: DOI
Ma, Junhai; Ren, Wenbo Complexity and Hopf bifurcation analysis on a kind of fractional-order IS-LM macroeconomic system. (English) Zbl 1349.34169 Int. J. Bifurcation Chaos Appl. Sci. Eng. 26, No. 11, Article ID 1650181, 11 p. (2016). MSC: 34C60 34A08 34C23 34C05 34D45 91B64 34C28 37D45 PDFBibTeX XMLCite \textit{J. Ma} and \textit{W. Ren}, Int. J. Bifurcation Chaos Appl. Sci. Eng. 26, No. 11, Article ID 1650181, 11 p. (2016; Zbl 1349.34169) Full Text: DOI
El-Nabulsi, R. A. Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model. (English) Zbl 1335.91118 Acta Math. Vietnam. 40, No. 4, 689-703 (2015). MSC: 91G80 26A33 49J21 70H03 91G20 PDFBibTeX XMLCite \textit{R. A. El-Nabulsi}, Acta Math. Vietnam. 40, No. 4, 689--703 (2015; Zbl 1335.91118) Full Text: DOI
Renault, Eric; van der Heijden, Thijs; Werker, Bas J. M. The dynamic mixed hitting-time model for multiple transaction prices and times. (English) Zbl 1293.91198 J. Econom. 180, No. 2, 233-250 (2014). MSC: 91G70 60H30 62P05 PDFBibTeX XMLCite \textit{E. Renault} et al., J. Econom. 180, No. 2, 233--250 (2014; Zbl 1293.91198) Full Text: DOI
Elbeleze, Asma Ali; Kılıçman, Adem; Taib, Bachok M. Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform. (English) Zbl 1299.91179 Math. Probl. Eng. 2013, Article ID 524852, 7 p. (2013). MSC: 91G80 35Q91 91G20 35R11 35C10 PDFBibTeX XMLCite \textit{A. A. Elbeleze} et al., Math. Probl. Eng. 2013, Article ID 524852, 7 p. (2013; Zbl 1299.91179) Full Text: DOI
Itkin, Andrey; Carr, Peter Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models. (English) Zbl 1254.91747 Comput. Econ. 40, No. 1, 63-104 (2012). MSC: 91G60 60J75 65L12 65L20 34B27 65T50 35M99 PDFBibTeX XMLCite \textit{A. Itkin} and \textit{P. Carr}, Comput. Econ. 40, No. 1, 63--104 (2012; Zbl 1254.91747) Full Text: DOI arXiv
Ma, Shichang; Xu, Yufeng; Yue, Wei Numerical solutions of a variable-order fractional financial system. (English) Zbl 1251.91070 J. Appl. Math. 2012, Article ID 417942, 14 p. (2012). MSC: 91G60 35R11 35Q91 37D45 PDFBibTeX XMLCite \textit{S. Ma} et al., J. Appl. Math. 2012, Article ID 417942, 14 p. (2012; Zbl 1251.91070) Full Text: DOI
Tenreiro Machado, J. A. And I say to myself: “What a fractional world!”. (English) Zbl 1273.37002 Fract. Calc. Appl. Anal. 14, No. 4, 635-654 (2011). MSC: 37-02 37Nxx 26A33 60G22 92B05 92D20 91G80 86A15 86A17 86A10 00A65 PDFBibTeX XMLCite \textit{J. A. Tenreiro Machado}, Fract. Calc. Appl. Anal. 14, No. 4, 635--654 (2011; Zbl 1273.37002) Full Text: DOI Link
Podlubny, Igor; Chechkin, Aleksei; Skovranek, Tomas; Chen, Yangquan; Vinagre Jara, Blas M. Matrix approach to discrete fractional calculus. II: Partial fractional differential equations. (English) Zbl 1160.65308 J. Comput. Phys. 228, No. 8, 3137-3153 (2009). MSC: 65D25 65M06 91B82 65Z05 PDFBibTeX XMLCite \textit{I. Podlubny} et al., J. Comput. Phys. 228, No. 8, 3137--3153 (2009; Zbl 1160.65308) Full Text: DOI arXiv
Yan, Jia; Liu, John J.; Li, Kevin X. Threshold control of mutual insurance with limited commitment. (English) Zbl 1140.91430 Insur. Math. Econ. 43, No. 1, 108-115 (2008). MSC: 91B30 93E20 PDFBibTeX XMLCite \textit{J. Yan} et al., Insur. Math. Econ. 43, No. 1, 108--115 (2008; Zbl 1140.91430) Full Text: DOI
Ahmad, Wajdi M.; El-Khazali, Reyad Fractional-order dynamical models of love. (English) Zbl 1133.91539 Chaos Solitons Fractals 33, No. 4, 1367-1375 (2007). MSC: 91D30 26A33 34C60 PDFBibTeX XMLCite \textit{W. M. Ahmad} and \textit{R. El-Khazali}, Chaos Solitons Fractals 33, No. 4, 1367--1375 (2007; Zbl 1133.91539) Full Text: DOI
Ökten, Giray; Tuffin, Bruno; Burago, Vadim A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance. (English) Zbl 1147.65300 J. Complexity 22, No. 4, 435-458 (2006). MSC: 65C05 65D30 91G60 91G20 PDFBibTeX XMLCite \textit{G. Ökten} et al., J. Complexity 22, No. 4, 435--458 (2006; Zbl 1147.65300) Full Text: DOI Link
Smith, Murray D. On dependency in double-hurdle models. (English) Zbl 1050.62116 Stat. Pap. 44, No. 4, 581-595 (2003). MSC: 62P20 91B42 PDFBibTeX XMLCite \textit{M. D. Smith}, Stat. Pap. 44, No. 4, 581--595 (2003; Zbl 1050.62116) Full Text: DOI
Boyle, Phelim; Broadie, Mark; Glasserman, Paul Monte Carlo methods for security pricing. (English) Zbl 0901.90007 J. Econ. Dyn. Control 21, No. 8-9, 1267-1321 (1997). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{P. Boyle} et al., J. Econ. Dyn. Control 21, No. 8--9, 1267--1321 (1997; Zbl 0901.90007) Full Text: DOI
Hess, B. J. M. Three-dimensional head angular velocity detection from otolith afferent signals. (English) Zbl 0825.92043 Biol. Cybern. 67, No. 4, 323-333 (1992). MSC: 92C20 91E30 PDFBibTeX XMLCite \textit{B. J. M. Hess}, Biol. Cybern. 67, No. 4, 323--333 (1992; Zbl 0825.92043) Full Text: DOI