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Solution of option pricing equations using orthogonal polynomial expansion

Falko Baustian, Kateřina Filipová, Jan Pospíšil (2021)

Applications of Mathematics

We study both analytic and numerical solutions of option pricing equations using systems of orthogonal polynomials. Using a Galerkin-based method, we solve the parabolic partial differential equation for the Black-Scholes model using Hermite polynomials and for the Heston model using Hermite and Laguerre polynomials. We compare the obtained solutions to existing semi-closed pricing formulas. Special attention is paid to the solution of the Heston model at the boundary with vanishing volatility.

Solution of Space-Time Fractional Schrödinger Equation Occurring in Quantum Mechanics

Saxena, R., Saxena, Ravi, Kalla, S. (2010)

Fractional Calculus and Applied Analysis

Dedicated to Professor A.M. Mathai on the occasion of his 75-th birthday. Mathematics Subject Classi¯cation 2010: 26A33, 44A10, 33C60, 35J10.The object of this article is to present the computational solution of one-dimensional space-time fractional Schrödinger equation occurring in quantum mechanics. The method followed in deriving the solution is that of joint Laplace and Fourier transforms. The solution is derived in a closed and computational form in terms of the H-function. It provides an elegant...

Solutions of Fractional Diffusion-Wave Equations in Terms of H-functions

Boyadjiev, Lyubomir, Al-Saqabi, Bader (2012)

Mathematica Balkanica New Series

MSC 2010: 35R11, 42A38, 26A33, 33E12The method of integral transforms based on joint application of a fractional generalization of the Fourier transform and the classical Laplace transform is utilized for solving Cauchy-type problems for the time-space fractional diffusion-wave equations expressed in terms of the Caputo time-fractional derivative and the Weyl space-fractional operator. The solutions obtained are in integral form whose kernels are Green functions expressed in terms of the Fox H-functions....

Some Characterization of the q -Gamma Function by Functional Equations. Nota I

Marino Badiale (1983)

Atti della Accademia Nazionale dei Lincei. Classe di Scienze Fisiche, Matematiche e Naturali. Rendiconti Lincei. Matematica e Applicazioni

In questo lavoro, suddiviso in una Nota I e in una Nota II, si estendono alle funzioni q -gamma i classici risultati sulla determinazione univoca della funzione gamma tramite equazioni funzionali; si introduce poi una q -generalizzazione di una funzione fattoriale intera, e se ne indicano le principali proprietà.

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