Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications
| Author | Farhadi, A. |
| Author | Erjaee, G.H. |
| Author | Salehib, M. |
| Available date | 2020-10-01T11:39:52Z |
| Publication Date | 2017 |
| Publication Name | Computers and Mathematics with Applications |
| Resource | Scopus |
| Abstract | 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 to transfer our proposed model to a fractional partial differential equation. As an application of our proposed model, two optimal problems are discussed and solved, analytically. |
| Sponsor | This publication was made possible by NPRP grant NPRP 5-088-1-021 from the Qatar National Research Fund (a member of Qatar Foundation). |
| Language | en |
| Publisher | Elsevier Ltd |
| Subject | Fractional Black-Scholes equation Merton's optimal problem Stochastic differential equation |
| Type | Article |
| Pagination | 2066-2075 |
| Issue Number | 9 |
| Volume Number | 73 |
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Mathematics, Statistics & Physics [666 items ]