Browsing Mathematics, Statistics & Physics by Author "FarhadiA."
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A New Version of Black Scholes Equation Presented by Time-Fractional Derivative
FarhadiA.; SalehiM.; ErjaeeG.H. ( Springer International Publishing , 2018 , Article)In this article, a new time-fractional-order Black–Scholes equation has been derived. In this derivation, the asset price satisfies in a fractional-order stochastic differential equation. Here, the effect of trend memory ... -
Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications
Farhadi, A.; Erjaee, G.H.; Salehib, M. ( Elsevier Ltd , 2017 , Article)In this article, a new model of Merton's optimal problem is derived. This derivation is based on stock price presented by fractional order stochastic differential equation. An extension of Hamilton-Jacobi-Bellman is used ...