University of Tabriz
Computational Methods for Differential Equations
2345-3982
2383-2533
2
1
2014
07
01
European option pricing of fractional Black-Scholes model with new Lagrange multipliers
1
10
EN
Mohammad Ali Mohebbi
Ghandehari
Azarbijan Shahid Madani University
mohammadalimohebbi@yahoo.com
Mojtaba
Ranjbar
Azarbijan Shahid Madani University
ranjbar633@gmail.com
In this paper, a new identification of the Lagrange multipliers by means of the Sumudu transform, is employed to btain a quick and accurate solution to the fractional Black-Scholes equation with the initial condition for a European option pricing problem. Undoubtedly this model is the most well known model for pricing financial derivatives. The fractional derivatives is described in Caputo sense. This method finds the analytical solution without any discretization or additive assumption. The analytical method has been applied in the form of convergent power series with easily computable components. Some illustrative examples are presented to explain the efficiency and simplicity of the proposed method.
Sumudu transforms,Fractional Black- Scholes equation,European option pricing problem
http://cmde.tabrizu.ac.ir/article_1118.html
http://cmde.tabrizu.ac.ir/article_1118_016b1d6fb802cae6f2eb541551438d26.pdf
University of Tabriz
Computational Methods for Differential Equations
2345-3982
2383-2533
2
1
2014
07
01
Exact travelling wave solutions for some complex nonlinear partial
differential equations
11
18
EN
N.
Taghizadeh
University of Guilan
Mohammad
Mirzazadeh
Department of Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran
mirzazadehs2@guilan.ac.ir
M.
Eslami
University of Mazandaran
M.
Moradi
University of Guilan
This paper reflects the implementation of a reliable technique which is called $left(frac{G'}{G}right)$-expansion ethod for constructing exact travelling wave solutions of nonlinear partial differential equations. The proposed algorithm has been successfully tested on two two selected equations, the balance numbers of which are not positive integers namely Kundu-Eckhaus equation and Derivative nonlinear Schr"{o}dinger’s equation. This method is a powerful tool for searching exact travelling solutions in closed form.
$frac{G'}{G}$-expansion method,Kundu-Eckhaus
equation,Derivative nonlinear Schr"{o}dinger’s equation
http://cmde.tabrizu.ac.ir/article_1199.html
http://cmde.tabrizu.ac.ir/article_1199_fb3739857771654c2517f5bfd6a6baeb.pdf
University of Tabriz
Computational Methods for Differential Equations
2345-3982
2383-2533
2
1
2014
07
01
Asymptotic distributions of Neumann problem for Sturm-Liouville equation
19
25
EN
Hamidreza
Marasi
University of Bonab, Bonab, Iran
hamidreza.marasi@gmail.com
Esmail
Khezri
University of Bonab, Bonab, Iran
ekhezri@yahoo.com
In this paper we apply the Homotopy perturbation method to derive the higher-order asymptotic distribution of the eigenvalues and eigenfunctions associated with the linear real second order equation of Sturm-liouville type on $[0,pi]$ with Neumann conditions $(y'(0)=y'(pi)=0)$ where $q$ is a real-valued Sign-indefinite number of $C^{1}[0,pi]$ and $lambda$ is a real parameter.
Sturm-Liouville,Nondefinite problem,Homotopy Perturbation method,Asymptotic distribution
http://cmde.tabrizu.ac.ir/article_1322.html
http://cmde.tabrizu.ac.ir/article_1322_90f31a367ef89be733f0c5ba5934a118.pdf
University of Tabriz
Computational Methods for Differential Equations
2345-3982
2383-2533
2
1
2014
07
01
Exact solutions of distinct physical structures to the fractional potential Kadomtsev-Petviashvili equation
26
36
EN
Ahmet
Bekir
Eskisehir Osmangazi University, Art-Science Faculty,
Department of Mathematics-Computer
abekir@ogu.edu.tr
Ozkan
Guner
Dumlupınar University
ozkanguner@karatekin.edu.tr
In this paper, Exp-function and (G′/G)expansion methods are presented to derive traveling wave solutions for a class of nonlinear space-time fractional differential equations. As a results, some new exact traveling wave solutions are obtained.
Exact solution,Fractional differential equations,modified Riemann--Liouville derivative,space-time fractional Potential Kadomtsev-Petviashvili equation,solitons
http://cmde.tabrizu.ac.ir/article_1334.html
http://cmde.tabrizu.ac.ir/article_1334_c581afeccef02be0b79b53ac365d021a.pdf
University of Tabriz
Computational Methods for Differential Equations
2345-3982
2383-2533
2
1
2014
07
01
Solving The Stefan Problem with Kinetics
37
49
EN
Ali
Beiranvand
Faculty of mathematical sciences, university of tabriz, tabriz, Iran.
alibeiranvand36@gmail.com
Karim
Ivaz
University of Tabriz, Iran
ivaz@tabrizu.ac.ir
We introduce and discuss the Homotopy perturbation method, the Adomian decomposition method and the variational iteration method for solving the stefan problem with kinetics. Then, we give an example of the stefan problem with kinetics and solve it by these methods.
stefan problem,kinetics,Homotopy Perturbation method,Adomian Decomposition Method,variational iteration method
http://cmde.tabrizu.ac.ir/article_1569.html
http://cmde.tabrizu.ac.ir/article_1569_7ca4dc8443ac085037c248f5d280329e.pdf
University of Tabriz
Computational Methods for Differential Equations
2345-3982
2383-2533
2
1
2014
07
01
Application of the Kudryashov method and the functional variable
method for the complex KdV equation
50
55
EN
Mojgan
Akbari
P.h.D
m_akbari@guilan.ac.ir
In this present work, the Kudryashov method and the functional variable method are used to construct exact solutions of the complex KdV equation. The Kudryashov method and the functional variable method are powerful methods for obtaining exact solutions of nonlinear evolution equations.
Kudryashov method,functional variable method,complex KdV equation
http://cmde.tabrizu.ac.ir/article_1585.html
http://cmde.tabrizu.ac.ir/article_1585_379a8017132c4021d5f76ff4a353ed26.pdf
University of Tabriz
Computational Methods for Differential Equations
2345-3982
2383-2533
2
1
2014
01
01
Inverse Laplace transform method for multiple solutions of the fractional Sturm-Liouville problems
56
61
EN
Farhad
Dastmalchi Saei
Tabriz Azad University
farhadsaei@gmail.com
Sadegh
Abbasi
Tabriz Azad University
s.abbasi2000@yahoo.com
Zhila
Mirzayi
Tabriz Azad University
mirzayi93@yahoo.com
In this paper, inverse Laplace transform method is applied to analytical solution of the fractional Sturm-Liouville problems. The method introduces a powerful tool for solving the eigenvalues of the fractional Sturm-Liouville problems. The results how that the simplicity and efficiency of this method.
Laplace transform,Fractional Sturm-Liouville problem,Caputo's fractional derivative,eigenvalue
http://cmde.tabrizu.ac.ir/article_2498.html
http://cmde.tabrizu.ac.ir/article_2498_1309b9e8503adfd2a6e6e1bb6afc7769.pdf