Article Per Year (5 Year)
p-Index From 2020 - 2025
0.23
P-Index
This Author published in this journals
All Journal International Journal of Quantitative Research and Modeling
Abiodun Ezekiel Owoyemi
Department of General Studies, Federal, College of Agricultural Produce Technology, Nigeria.
Computer Science & IT Decision Sciences, Operations Research & Management Engineering Environmental Science Physics

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Laplace Decomposition Method for Solving Fractional Black-Scholes European Option Pricing Equation Abiodun Ezekiel Owoyemi; Ira Sumiati; Endang Rusyaman; Sukono Sukono
International Journal of Quantitative Research and Modeling Vol 1, No 4 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (795.059 KB) | DOI: 10.46336/ijqrm.v1i4.83

Abstract

Fractional calculus is related to derivatives and integrals with the order is not an integer. Fractional Black-Scholes partial differential equation to determine the price of European-type call options is an application of fractional calculus in the economic and financial fields. Laplace decomposition method is one of the reliable and effective numerical methods for solving fractional differential equations. Thus, this paper aims to apply the Laplace decomposition method for solving the fractional Black-Scholes equation, where the fractional derivative used is the Caputo sense. Two numerical illustrations are presented in this paper. The results show that the Laplace decomposition method is an efficient, easy and very useful method for finding solutions of fractional Black-Scholes partial differential equations and boundary conditions for European option pricing problems.
Co-Authors Endang Rusyaman Ira Sumiati Sukono .