Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling

Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling

Abstract In the present paper, we employ a wavelets optimization method is employed for the elucidations of fractional partial differential equations of pricing European option accompanied by a Lévy model. We apply the Legendre wavelets optimization method (LWOM) to optimize the governing problem. T...

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Bibliographic Details
Main Authors: Asmat Ara, Najeeb Alam Khan, Oyoon Abdul Razzaq, Tooba Hameed, Muhammad Asif Zahoor Raja
Format: Article
Language:English
Published: SpringerOpen 2018-01-01
Series:Advances in Difference Equations
Subjects:
pricing models
Lévy processes
wavelets approximation
optimization
Online Access:http://link.springer.com/article/10.1186/s13662-017-1461-2

Internet

http://link.springer.com/article/10.1186/s13662-017-1461-2

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