Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option (Q5080093): Difference between revisions

Latest revision as of 04:08, 29 July 2024

scientific article; zbMATH DE number 7533916

Language	Label	Description	Also known as
English	Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option	scientific article; zbMATH DE number 7533916

Statements

instance of

scholarly article

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zbMATH Open document ID

1499.91174

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DOI

10.22124/jmm.2021.18924.1617

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author

H. Mesgarani

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S. Ahanj

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Aghdam Yones Esmaeelzade

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publication date

31 May 2022

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Mathematics Subject Classification ID

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fractional Black-Scholes equation

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linear interpolation

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Chebyshev polynomials of the third kind

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collocation method

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://jmm.guilan.ac.ir/article_4776_6104d9525bbf3a0c8e862598b34e37b2.pdf

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OpenAlex ID

W3187231615

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title

Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option (English)

0 references

cites work

Fast and efficient numerical methods for an extended Black-Scholes model

0 references

A note on Wick products and the fractional Black-Scholes model

0 references

The Pricing of Options and Corporate Liabilities

0 references

Derivatives pricing with marked point processes using tick-by-tick data

0 references

A predictor-corrector approach for pricing American options under the finite moment log-stable model

0 references

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

0 references

Numerically pricing double barrier options in a time-fractional Black-Scholes model

0 references

Fractional model and solution for the Black‐Scholes equation

0 references

Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market

0 references

Comparative study of three numerical schemes for fractional integro-differential equations

0 references

Q5014971

0 references

Fractional Pearson diffusions

0 references

Q3568034

0 references

A meshless method based on point interpolation method (PIM) for the space fractional diffusion equation

0 references

A new fractional finite volume method for solving the fractional diffusion equation

0 references

Stochastic models for fractional calculus

0 references

The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes

0 references

Q4905685

0 references

Numerical solution of mixed-type fractional functional differential equations using modified Lucas polynomials

0 references

A numerical method for pricing discrete double barrier option by Legendre multiwavelet

0 references

Solution of the fractional Black-Scholes option pricing model by finite difference method

0 references

Time fractional cable equation and applications in neurophysiology

0 references

Q4438488

0 references

A Legendre spectral quadrature tau method for the multi-term time-fractional diffusion equations

0 references

On the formulation and numerical simulation of distributed-order fractional optimal control problems

0 references

A Crank--Nicolson ADI Spectral Method for a Two-Dimensional Riesz Space Fractional Nonlinear Reaction-Diffusion Equation

0 references

Numerical solution of the time fractional Black-Scholes model governing European options

0 references

A Novel High Order Space-Time Spectral Method for the Time Fractional Fokker--Planck Equation

0 references

Numerical Methods for the Variable-Order Fractional Advection-Diffusion Equation with a Nonlinear Source Term

0 references

New Solution and Analytical Techniques of the Implicit Numerical Method for the Anomalous Subdiffusion Equation

0 references

Finite volume and finite element methods for solving a one-dimensional space-fractional Boussinesq equation

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5080093

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+Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
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+MaRDI publication profile
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@@ Property / full work available at URL @@
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+W3187231615
@@ Property / OpenAlex ID: W3187231615 / rank @@
+Normal rank
@@ Property / title @@
+Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option (English)
+Normal rank
@@ Property / cites work @@
+Fast and efficient numerical methods for an extended Black-Scholes model
+Normal rank
@@ Property / cites work @@
+A note on Wick products and the fractional Black-Scholes model
+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 @@
+Derivatives pricing with marked point processes using tick-by-tick data
+Normal rank
@@ Property / cites work @@
+A predictor-corrector approach for pricing American options under the finite moment log-stable model
+Normal rank
@@ Property / cites work @@
+Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+Numerically pricing double barrier options in a time-fractional Black-Scholes model
+Normal rank
@@ Property / cites work @@
+Fractional model and solution for the Black‐Scholes equation
+Normal rank
@@ Property / cites work @@
+Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
+Normal rank
@@ Property / cites work @@
+Comparative study of three numerical schemes for fractional integro-differential equations
+Normal rank
@@ Property / cites work @@
+Q5014971
@@ Property / cites work: Q5014971 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Pearson diffusions
@@ Property / cites work: Fractional Pearson diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Q3568034
@@ Property / cites work: Q3568034 / rank @@
+Normal rank
@@ Property / cites work @@
+A meshless method based on point interpolation method (PIM) for the space fractional diffusion equation
+Normal rank
@@ Property / cites work @@
+A new fractional finite volume method for solving the fractional diffusion equation
+Normal rank
@@ Property / cites work @@
+Stochastic models for fractional calculus
@@ Property / cites work: Stochastic models for fractional calculus / rank @@
+Normal rank
@@ Property / cites work @@
+The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical solution of mixed-type fractional functional differential equations using modified Lucas polynomials
+Normal rank
@@ Property / cites work @@
+A numerical method for pricing discrete double barrier option by Legendre multiwavelet
+Normal rank
@@ Property / cites work @@
+Solution of the fractional Black-Scholes option pricing model by finite difference method
+Normal rank
@@ Property / cites work @@
+Time fractional cable equation and applications in neurophysiology
+Normal rank
@@ Property / cites work @@
+Q4438488
@@ Property / cites work: Q4438488 / rank @@
+Normal rank
@@ Property / cites work @@
+A Legendre spectral quadrature tau method for the multi-term time-fractional diffusion equations
+Normal rank
@@ Property / cites work @@
+On the formulation and numerical simulation of distributed-order fractional optimal control problems
+Normal rank
@@ Property / cites work @@
+A Crank--Nicolson ADI Spectral Method for a Two-Dimensional Riesz Space Fractional Nonlinear Reaction-Diffusion Equation
+Normal rank
@@ Property / cites work @@
+Numerical solution of the time fractional Black-Scholes model governing European options
+Normal rank
@@ Property / cites work @@
+A Novel High Order Space-Time Spectral Method for the Time Fractional Fokker--Planck Equation
+Normal rank
@@ Property / cites work @@
+Numerical Methods for the Variable-Order Fractional Advection-Diffusion Equation with a Nonlinear Source Term
+Normal rank
@@ Property / cites work @@
+New Solution and Analytical Techniques of the Implicit Numerical Method for the Anomalous Subdiffusion Equation
+Normal rank
@@ Property / cites work @@
+Finite volume and finite element methods for solving a one-dimensional space-fractional Boussinesq equation
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5080093