In this study, a new application of multivariate Padé approximation method has been used for solving European vanilla call option pricing problem. Padé polynomials have occurred for the fractional Black-Scholes equation, according to the relations of "smaller than", or "greater than", between stock price and exercise price of the option. Using these polynomials, we have applied the multivariate Padé approximation method to our fractional equation and we have calculated numerical solutions of fractional Black-Scholes equation for both of two situations. The obtained results show that the multivariate Padé approximation is a very quick and accurate method for fractional Black-Scholes equation. The fractional derivative is understood in the Caputo sense.
This paper presents an optimal boundary temperature control of thermal stresses in a plate, based on time-conformable fractional heat conduction equation. The aim is to find the boundary temperature that takes thermal stress under control. The fractional Laplace and finite Fourier sine transforms are used to obtain the fundamental solution. Then the optimal control is held by successive iterations. Numerical results are depicted by plots produced by MATLAB codes.
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