A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics (Q2131687): Difference between revisions

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scientific article

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English	A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics	scientific article

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scholarly article

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title

A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics (English)

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Chaos, Solitons and Fractals

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publication date

26 April 2022

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zbMATH Keywords

option pricing

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non-random fractal dynamics

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time-fractional Black-Scholes PDE

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numerical method

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.chaos.2021.110753

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cites work

A note on fractional order derivatives and table of fractional derivatives of some special functions

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The Pricing of Options and Corporate Liabilities

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Analytically pricing double barrier options based on a time-fractional Black-Scholes equation

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New approach for the model describing the deathly disease in pregnant women using Mittag-Leffler function

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Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence

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Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results

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Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations

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Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio

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Option pricing beyond Black-Scholes based on double-fractional diffusion

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Taylor’s Series Generalized for Fractional Derivatives and Applications

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Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)

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Fractional Brownian Motions, Fractional Noises and Applications

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A class of micropulses and antipersistent fractional Brownian motion

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Alternative micropulses and fractional Brownian motion

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Fractional-order systems and controls. Fundamentals and applications

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Q4438574

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Regarding new numerical solution of fractional schistosomiasis disease arising in biological phenomena

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A COPULA-BASED CORRELATION MEASURE AND ITS APPLICATION IN CHINESE STOCK MARKET

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Identifiers

zbMATH Open document ID

1498.91497

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DOI

10.1016/j.chaos.2021.110753

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2131687

@@ Property / cites work @@
+A note on fractional order derivatives and table of fractional derivatives of some special functions
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+New approach for the model describing the deathly disease in pregnant women using Mittag-Leffler function
+Normal rank
@@ Property / cites work @@
+Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
+Normal rank
@@ Property / cites work @@
+Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
+Normal rank
@@ Property / cites work @@
+Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
+Normal rank
@@ Property / cites work @@
+Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
+Normal rank
@@ Property / cites work @@
+Option pricing beyond Black-Scholes based on double-fractional diffusion
+Normal rank
@@ Property / cites work @@
+Taylor’s Series Generalized for Fractional Derivatives and Applications
+Normal rank
@@ Property / cites work @@
+Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+A class of micropulses and antipersistent fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Alternative micropulses and fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Fractional-order systems and controls. Fundamentals and applications
+Normal rank
@@ Property / cites work @@
+Q4438574
@@ Property / cites work: Q4438574 / rank @@
+Normal rank
@@ Property / cites work @@
+Regarding new numerical solution of fractional schistosomiasis disease arising in biological phenomena
+Normal rank
@@ Property / cites work @@
+A COPULA-BASED CORRELATION MEASURE AND ITS APPLICATION IN CHINESE STOCK MARKET
+Normal rank