Browsing Mathematics, Statistics & Physics by Author "ErjaeeG.H."
Now showing items 1-4 of 4
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A New Version of Black Scholes Equation Presented by Time-Fractional Derivative
FarhadiA.; SalehiM.; ErjaeeG.H. ( Springer International Publishing , 2018 , Article)In this article, a new time-fractional-order Black–Scholes equation has been derived. In this derivation, the asset price satisfies in a fractional-order stochastic differential equation. Here, the effect of trend memory ... -
Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications
Farhadi, A.; Erjaee, G.H.; Salehib, M. ( Elsevier Ltd , 2017 , Article)In this article, a new model of Merton's optimal problem is derived. This derivation is based on stock price presented by fractional order stochastic differential equation. An extension of Hamilton-Jacobi-Bellman is used ... -
The modified homotopy perturbation method for solving strongly nonlinear oscillators
Momani, Shaher; Erjaee, G.H.; Alnasr, M.H. ( Elsevier , 2009 , Article)In this paper we propose a reliable algorithm for the solution of nonlinear oscillators. Our algorithm is based upon the homotopy perturbation method (HPM), Laplace transforms, and Padé approximants. This modified homotopy ... -
Numerical bifurcation of predator-prey fractional differential equations with a constant rate harvesting
Erjaee, G.H. ( IOP Publishing , 2008 , Article)In this article saddle and Hopf bifurcation points of predator-prey fractional differential equations system with a constant rate harvesting are investigated. The numerical results based on Grunwald-Letnikov discretization ...