Numerical Solution of Fractional Black-Scholes Equation by Using the Multivariate Pade Approximation

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dc.contributor.authorOzdemir, N.
dc.contributor.authorYavuz, M.
dc.date.accessioned2024-02-23T14:31:15Z
dc.date.available2024-02-23T14:31:15Z
dc.date.issued2017
dc.departmentNEÜen_US
dc.description3rd International Conference on Computational and Experimental Science and Engineering (ICCESEN) -- OCT 19-24, 2016 -- Antalya, TURKEYen_US
dc.description.abstractIn this study, a new application of multivariate Pade approximation method has been used for solving European vanilla call option pricing problem. Pade polynomials have occurred for the fractional Black-Scholes equation, according to the relations of smaller than, or greater than, between stock price and exercise price of the option. Using these polynomials, we have applied the multivariate Pade approximation method to our fractional equation and we have calculated numerical solutions of fractional Black-Scholes equation for both of two situations. The obtained results show that the multivariate Pade approximation is a very quick and accurate method for fractional Black-Scholes equation. The fractional derivative is understood in the Caputo sense.en_US
dc.description.sponsorshipBalikesir University Scientific Research Projects Unit [BAP: 2016/108]en_US
dc.description.sponsorshipThis research was supported by Balikesir University Scientific Research Projects Unit, BAP: 2016/108.en_US
dc.identifier.doi10.12693/APhysPolA.132.1050
dc.identifier.endpage1053en_US
dc.identifier.issn0587-4246
dc.identifier.issn1898-794X
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85033391178en_US
dc.identifier.scopusqualityQ4en_US
dc.identifier.startpage1050en_US
dc.identifier.urihttps://doi.org/10.12693/APhysPolA.132.1050
dc.identifier.urihttps://hdl.handle.net/20.500.12452/15117
dc.identifier.volume132en_US
dc.identifier.wosWOS:000413982900064en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherPolish Acad Sciences Inst Physicsen_US
dc.relation.ispartofActa Physica Polonica Aen_US
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subject[Keyword Not Available]en_US
dc.titleNumerical Solution of Fractional Black-Scholes Equation by Using the Multivariate Pade Approximationen_US
dc.typeConference Objecten_US

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