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   gegenbauer spectral treatment of the time fractional black-scholes-schrodinger equations  
   
نویسنده izadkhah mohammad mahdi
منبع هفتمين همايش رياضيات و علوم انساني(رياضيات مالي) - 1401 - دوره : 7 - هفتمین همایش ریاضیات و علوم انسانی(ریاضیات مالی) - کد همایش: 01220-38251 - صفحه:0 -0
چکیده    In this paper, we study ‎t‎he time fractional black-scholes-schrodinger(tfbss) equation is a quantum financial model which is used for analyzing fair prices of options in real financial market.‎ we present ‎gegenbauer spectral method for spatial variable and the time fractional derivative of mentioned equation is approximated by a scheme of order ‎‎$‎‎2-‎alpha‎$ ‎for ‎fractional ‎derivation of order ‎‎$‎‎alpha‎‎$‎. ‎the presented method reduces tfbss to a matrix equation‎, ‎which can be solved by the global gmres method‎.‎in this paper, we study ‎t‎he time fractional black-scholes-schrodinger(tfbss) equation is a quantum financial model which is used for analyzing fair prices of options in real financial market.‎ we present ‎gegenbauer spectral method for spatial variable and the time fractional derivative of mentioned equation is approximated by a scheme of order ‎‎$‎‎2-‎alpha‎$ ‎for ‎fractional ‎derivation of order ‎‎$‎‎alpha‎‎$‎. ‎the presented method reduces tfbss to a matrix equation‎, ‎which can be solved by the global gmres method‎
کلیدواژه time fractional black–scholes-schrodinger model‎ ,‎gegenbauer spectral method‎ ,matrix equation‎ ,‎global gmres method
آدرس , iran
 
     
   
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