The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense

Implicit Fractional Differential Equations via the Liouville–Caputo Derivative

We study an initial value problem for an implicit fractional differential equation with the Liouville–Caputo fractional derivative. By using fixed point theory and an approximation method, we obtain some existence and uniqueness results.

Numerical Solutions for Fractional Black-Scholes Option Pricing Equation

In this article we have applied a numerical finite difference method to solve the Black-Scholes European and American option pricing both presented by fractional differential equations in time and asset.

Analytical solutions for the fractional Fisher's equation

In this paper, we consider the inhomogeneous time-fractional nonlinear Fisher equation with three known boundary conditions. We first apply a modified Homotopy perturbation method for translating the proposed problem to a set of linear problems. Then we use the separation variables  method to solve obtained problems. In examples, we illustrate that by right choice of source term in the modified...

The use of iterative methods for solving Black-Scholes equation

On the split-step method for the solution of nonlinear Schr"{o}dinger equation with the Riesz space fractional derivative

The aim of this paper is to extend the split-step idea for the solution of fractional partial differential equations. We consider the multidimensional nonlinear Schr"{o}dinger equation with the Riesz space fractional derivative and propose an efficient numerical algorithm to obtain it's approximate solutions. To this end, we first discretize the Riesz fractional derivative then apply the Crank-...