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

Ameen Alawneh, Kamel Al-Khaled

Research output: Contribution to journalArticle

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 2724-2732 9 Computers and Mathematics with Applications 56 10 https://doi.org/10.1016/j.camwa.2008.05.040 Published - Nov 2008

### Fingerprint

Stochastic models
Financial Markets
Stochastic Model
Black-Scholes Model
Fokker Planck equation
Variational Iteration Method
Fokker-Planck Equation
Linearization
Non-equilibrium
Pricing
Numerical methods
Approximate Solution
Numerical Solution
Series
Costs
Financial markets
Graphics
Form

### Keywords

• Approximate solutions
• Financial markets
• Statistical systems
• Stochastic analysis
• Variational method

### ASJC Scopus subject areas

• Computational Theory and Mathematics
• Modelling and Simulation
• Computational Mathematics

### Cite this

Numerical treatment of stochastic models used in statistical systems and financial markets. / Alawneh, Ameen; Al-Khaled, Kamel.

In: Computers and Mathematics with Applications, Vol. 56, No. 10, 11.2008, p. 2724-2732.

Research output: Contribution to journalArticle

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