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gegenbauer spectral treatment of the time fractional black-scholes-schrodinger equations
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نویسنده
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izadkhah mohammad mahdi
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منبع
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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
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چکیده
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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
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کلیدواژه
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time fractional black–scholes-schrodinger model ,gegenbauer spectral method ,matrix equation ,global gmres method
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آدرس
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, iran
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Authors
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