Numerical treatment of stochastic models used in statistical systems and financial markets

Ameen Alawneh; Kamel Al-Khaled

doi:10.1016/j.camwa.2008.05.040

Numerical treatment of stochastic models used in statistical systems and financial markets

Ameen Alawneh, Kamel Al-Khaled^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

In this paper, by means of the variational iteration method, numerical solutions are computed for some stochastic models, without any linearization or weak assumptions. Two stochastic models, the Fokker-Planck equation for non-equilibrium statistical systems and the Black-Scholes model for pricing stock options, are solved numerically. In this approach, the solution is found in the form of a convergent series with easily computed components. The behavior of the approximate solutions is shown graphically.

Original language	English
Pages (from-to)	2724-2732
Number of pages	9
Journal	Computers and Mathematics with Applications
Volume	56
Issue number	10
DOIs	https://doi.org/10.1016/j.camwa.2008.05.040
Publication status	Published - Nov 2008
Externally published	Yes

Keywords

Approximate solutions
Financial markets
Statistical systems
Stochastic analysis
Variational method

ASJC Scopus subject areas

Modelling and Simulation
Computational Theory and Mathematics
Computational Mathematics

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10.1016/j.camwa.2008.05.040

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author = "Ameen Alawneh and Kamel Al-Khaled",

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AU - Alawneh, Ameen

AU - Al-Khaled, Kamel

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AB - In this paper, by means of the variational iteration method, numerical solutions are computed for some stochastic models, without any linearization or weak assumptions. Two stochastic models, the Fokker-Planck equation for non-equilibrium statistical systems and the Black-Scholes model for pricing stock options, are solved numerically. In this approach, the solution is found in the form of a convergent series with easily computed components. The behavior of the approximate solutions is shown graphically.

KW - Approximate solutions

KW - Financial markets

KW - Statistical systems

KW - Stochastic analysis

KW - Variational method

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JF - Computers and Mathematics with Applications

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ER -

Numerical treatment of stochastic models used in statistical systems and financial markets

Abstract

Keywords

ASJC Scopus subject areas

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