International Journal of Global Operations Research
Vol. 4 No. 1 (2023): International Journal of Global Operations Research (IJGOR), February 2023

Application Of Natural Decomposition Method For Solution Of Fractional Black-Scholes Equation

Bature, Sani Sufyan (Unknown)
Sumiati, Ira (Unknown)

Article Info

Publish Date
02 Feb 2023

Abstract

The Black-Scholes equation is a partial differential equation that can model the European call option price problem. This equation can be of the order of natural numbers or fractional. The aim of this paper is to find a solution to the fractional order Black-Scholes partial differential equation. The method used to find solutions to these equations is the Natural decomposition method. Two numerical examples are presented in this paper. The results show that the Natural decomposition method is effective and easy to use to solve the fractional Black-Scholes equation.

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Journal Info
International Journal of Global Operations Research
Website

Abbrev

ijgor

Publisher

Indonesian Operations Research Association

Subject

Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Engineering Mathematics

Description

International Journal of Global Operations Research (IJGOR) is published 4 times a year and is the flagship journal of the Indonesian Operational Research Association (IORA). It is the aim of IJGOR to present papers which cover the theory, practice, history or methodology of OR. However, since OR is ...