scholarly journals On Comparative Analysis for the Black-Scholes Model in the Generalized Fractional Derivatives Sense via Jafari Transform

2021 ◽  
Vol 2021 ◽  
pp. 1-22
Author(s):  
Saima Rashid ◽  
Sobia Sultana ◽  
Rehana Ashraf ◽  
Mohammed K. A. Kaabar
Keyword(s):  
Fractional Derivative ◽  
Adomian Decomposition Method ◽  
Capital Asset Pricing ◽  
Transform Method ◽  
Uniqueness Results ◽  
Black Scholes Model ◽  
Asset Pricing Models ◽  
Adomian Decomposition ◽  
Black Scholes ◽  
Generalized Fractional Derivatives

The Black-Scholes model is well known for determining the behavior of capital asset pricing models in the finance sector. The present article deals with the Black-Scholes model via the Caputo fractional derivative and Atangana-Baleanu fractional derivative operator in the Caputo sense, respectively. The Jafari transform is merged with the Adomian decomposition method and new iterative transform method. It is worth mentioning that the Jafari transform is the unification of several existing transforms. Besides that, the convergence and uniqueness results are carried out for the aforesaid model. In mathematical terms, the variety of equations and their solutions have been discovered and identified with various novel features of the projected model. To provide additional context for these ideas, numerous sorts of illustrations and tabulations are presented. The precision and efficacy of the proposed technique suggest its applicability for a variety of nonlinear evolutionary problems.

AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD

2018 ◽  
Vol 59 (3) ◽  
pp. 349-369
Author(s):  
ZIWIE KE ◽  
JOANNA GOARD ◽  
SONG-PING ZHU
Keyword(s):  
Decomposition Method ◽  
Adomian Decomposition Method ◽  
European Options ◽  
Black Scholes Model ◽  
Adomian Decomposition ◽  
Black Scholes ◽  
Interest Rate Model ◽  
Vasicek Interest Rate Model ◽  
Digital Options ◽  
Continuous Estimation

We study the numerical Adomian decomposition method for the pricing of European options under the well-known Black–Scholes model. However, because of the nondifferentiability of the pay-off function for such options, applying the Adomian decomposition method to the Black–Scholes model is not straightforward. Previous works on this assume that the pay-off function is differentiable or is approximated by a continuous estimation. Upon showing that these approximations lead to incorrect results, we provide a proper approach, in which the singular point is relocated to infinity through a coordinate transformation. Further, we show that our technique can be extended to pricing digital options and European options under the Vasicek interest rate model, in both of which the pay-off functions are singular. Numerical results show that our approach overcomes the difficulty of directly dealing with the singularity within the Adomian decomposition method and gives very accurate results.

scholarly journals Application of Natural Transform Method to Fractional Pantograph Delay Differential Equations

2019 ◽  
Vol 2019 ◽  
pp. 1-9 ◽  
Author(s):  
M. Valizadeh ◽  
Y. Mahmoudi ◽  
F. Dastmalchi Saei
Keyword(s):  
Differential Equations ◽  
Fractional Derivative ◽  
Perturbation Method ◽  
Delay Differential Equations ◽  
Decomposition Method ◽  
Adomian Decomposition Method ◽  
New Method ◽  
Transform Method ◽  
Adomian Decomposition ◽  
Delay Differential

In this paper, a new method based on combination of the natural transform method (NTM), Adomian decomposition method (ADM), and coefficient perturbation method (CPM) which is called “perturbed decomposition natural transform method” (PDNTM) is implemented for solving fractional pantograph delay differential equations with nonconstant coefficients. The fractional derivative is regarded in Caputo sense. Numerical evaluations are included to demonstrate the validity and applicability of this technique.

scholarly journals SPLINES SOLUTIONS OF HIGHER-ORDER BVPs THAT ARISE IN CONSISTENT MAGNETIZED FORCE FIELD

Fractals ◽  
2021 ◽  
Author(s):  
AASMA KHALID ◽  
AKMAL REHAN ◽  
KOTTAKKARAN SOOPPY NISAR ◽  
ABDEL-HALEEM ABDEL-ATY ◽  
MOHAMMED ZAKARYA
Keyword(s):  
Force Field ◽  
Gravitational Force ◽  
Adomian Decomposition Method ◽  
Variational Iteration Method ◽  
Nonlinear Boundary Value Problems ◽  
Transform Method ◽  
B Spline ◽  
Adomian Decomposition ◽  
Differential Transform ◽  
Cubic Polynomial

In this paper, cubic polynomial and nonpolynomial splines are developed to solve solutions of 10th- and 12th-order nonlinear boundary value problems (BVPs). Such types of BVPs occur when a consistent magnetized force field is applied crosswise the fluid in the substance of gravitational force. We will amend our problem into such a form that converts the system of [Formula: see text]th- [Formula: see text] [Formula: see text]th-order BVPs into a new system of [Formula: see text]nd-order BVPs. The appropriate outcomes by using CP Spline and CNP Spline are compared with the exact root. To show the efficiency of our results, absolute errors calculated by using CP Spline and CNP Spline have been compared with other methods like differential transform method, Adomian decomposition method, variational iteration method, cubic B-spline, homotopy perturbation method, [Formula: see text]th- and [Formula: see text]th-order B-spline and our results are very encouraging. Graphs and tables are also presented in the numerical section of this paper.

scholarly journals Approximate solution of nonlinear ordinary differential equation using ZZ decomposition method

2020 ◽  
Vol 4 (1) ◽  
pp. 448-455
Author(s):  
Mulugeta Andualem ◽  
◽  
Atinafu Asfaw ◽  
Keyword(s):  
Differential Equation ◽  
Ordinary Differential Equation ◽  
Approximate Solution ◽  
Initial Value Problems ◽  
Decomposition Method ◽  
Adomian Decomposition Method ◽  
Nonlinear Ordinary Differential Equation ◽  
Initial Value ◽  
Transform Method ◽  
Adomian Decomposition

Nonlinear initial value problems are somewhat difficult to solve analytically as well as numerically related to linear initial value problems as their variety of natures. Because of this, so many scientists still searching for new methods to solve such nonlinear initial value problems. However there are many methods to solve it. In this article we have discussed about the approximate solution of nonlinear first order ordinary differential equation using ZZ decomposition method. This method is a combination of the natural transform method and Adomian decomposition method.

scholarly journals Analytic Comparison of MHD Squeezing Flow in Porous Medium with Slip Condition

2016 ◽  
Vol 2016 ◽  
pp. 1-10 ◽  
Author(s):  
Inayat Ullah ◽  
M. T. Rahim ◽  
Hamid Khan ◽  
Mubashir Qayyum
Keyword(s):  
Porous Medium ◽  
Stokes Equations ◽  
Adomian Decomposition Method ◽  
Nonlinear Ordinary Differential Equation ◽  
Navier Stokes ◽  
Squeezing Flow ◽  
Parallel Plates ◽  
Transform Method ◽  
Slip Boundary ◽  
Adomian Decomposition

The aim of this paper is to compare the efficiency of various techniques for squeezing flow of an incompressible viscous fluid in a porous medium under the influence of a uniform magnetic field squeezed between two large parallel plates having slip boundary. Fourth-order nonlinear ordinary differential equation is obtained by transforming the Navier-Stokes equations. Resulting boundary value problem is solved using Differential Transform Method (DTM), Daftardar Jafari Method (DJM), Adomian Decomposition Method (ADM), Homotopy Perturbation Method (HPM), and Optimal Homotopy Asymptotic Method (OHAM). The problem is also solved numerically using Mathematica solver NDSolve. The residuals of the problem are used to compare and analyze the efficiency and consistency of the abovementioned schemes.

Oxygen diffusion in a spherical cell subject to nonlinear Michaelis–Menten kinetics: Mathematical analysis by two exact methods

2017 ◽  
Vol 10 (02) ◽  
pp. 1750025
Author(s):  
Hooman Fatoorehchi ◽  
Hossein Abolghasemi ◽  
Laura Villafuerte ◽  
Reza Zarghami
Keyword(s):  
Oxygen Diffusion ◽  
Adomian Decomposition Method ◽  
Spherical Cell ◽  
Time Analysis ◽  
Exact Methods ◽  
Perfect Agreement ◽  
Transform Method ◽  
Modified Adomian Decomposition Method ◽  
Adomian Decomposition ◽  
Differential Transform

A nonlinear model representing oxygen diffusion accompanied by the Michaelis–Menten consumption kinetics inside a spherical cell is solved analytically by the differential transform method (DTM) and the modified Adomian decomposition method (MADM). A perfect agreement between the literature data and the results from the proposed solutions is found. The advantages and drawbacks of the two approaches are discussed and their efficiencies are compared through a CPU-time analysis.

scholarly journals Analytic Fuzzy Formulation of a Time-Fractional Fornberg–Whitham Model with Power and Mittag–Leffler Kernels

2021 ◽  
Vol 5 (3) ◽  
pp. 113 ◽  
Author(s):  
Saima Rashid ◽  
Rehana Ashraf ◽  
Ahmet Ocak Akdemir ◽  
Manar A. Alqudah ◽  
Thabet Abdeljawad ◽  
...  
Keyword(s):  
Fractional Derivative ◽  
Decomposition Method ◽  
Numerical Solutions ◽  
Integral Transform ◽  
Initial Conditions ◽  
Adomian Decomposition Method ◽  
Algorithmic Approach ◽  
Closed Form Solutions ◽  
Adomian Decomposition ◽  
Fractional Orders

This manuscript assesses a semi-analytical method in connection with a new hybrid fuzzy integral transform and the Adomian decomposition method via the notion of fuzziness known as the Elzaki Adomian decomposition method (briefly, EADM). Moreover, we use the aforesaid strategy to address the time-fractional Fornberg–Whitham equation (FWE) under gH-differentiability by employing different initial conditions (IC). Several algebraic aspects of the fuzzy Caputo fractional derivative (CFD) and fuzzy Atangana–Baleanu (AB) fractional derivative operator in the Caputo sense, with respect to the Elzaki transform, are presented to validate their utilities. Apart from that, a general algorithm for fuzzy Caputo and AB fractional derivatives in the Caputo sense is proposed. Some illustrative cases are demonstrated to understand the algorithmic approach of FWE. Taking into consideration the uncertainty parameter ζ∈[0,1] and various fractional orders, the convergence and error analysis are reported by graphical representations of FWE that have close harmony with the closed form solutions. It is worth mentioning that the projected approach to fuzziness is to verify the supremacy and reliability of configuring numerical solutions to nonlinear fuzzy fractional partial differential equations arising in physical and complex structures.

scholarly journals Approximate analytical solutions of non-linear local fractional heat equations

2019 ◽  
Vol 23 (Suppl. 3) ◽  
pp. 837-841 ◽  
Author(s):  
Shuxian Deng
Keyword(s):  
Analytical Solutions ◽  
Decomposition Method ◽  
Adomian Decomposition Method ◽  
Heat Equations ◽  
Transform Method ◽  
Fractional Complex Transform ◽  
Fractional Heat Equation ◽  
Approximate Analytical Solutions ◽  
Adomian Decomposition ◽  
Non Linear

Consider the non-linear local fractional heat equation. The fractional complex transform method and the Adomian decomposition method are used to solve the equation. The approximate analytical solutions are obtained.

Sign in / Sign up

Export Citation Format

Share Document