| Gegenbauer spectral treatment of the time fractional Black-Scholes-Schrodinger equations |
| کد مقاله : 1061-FEMATH7 |
| نویسندگان |
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محمدمهدی ایزدخواه * دانشگاه صنعتی بیرجند |
| چکیده مقاله |
| 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 ها |
| Time fractional Black–Scholes-Schrodinger model, Gegenbauer spectral method, Matrix equation, global GMRES method |
| وضعیت: پذیرفته شده برای ارائه شفاهی |