Approximation of time fractional Black-Scholes equation via radial kernels and transformations (Q5229310): Difference between revisions

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scientific article; zbMATH DE number 7094233

Language	Label	Description	Also known as
English	Approximation of time fractional Black-Scholes equation via radial kernels and transformations	scientific article; zbMATH DE number 7094233

Statements

scholarly article

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Approximation of time fractional Black-Scholes equation via radial kernels and transformations (English)

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Muhammad Taufiq

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Fractional Differential Calculus

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publication date

14 August 2019

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zbMATH Keywords

local kernel based method

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Black-Scholes model

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contour integration

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quadrature rule

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PDEs

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MaRDI profile type

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full work available at URL

https://doi.org/10.7153/fdc-2019-09-06

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Complex Variable and Regularization Methods of Inversion of the Laplace Transform

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Discontinuous Galerkin approximations for Volterra integral equations of the first kind

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

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Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative

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

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

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On a quasi-linear parabolic equation occurring in aerodynamics

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The Laguerre functions in the inversion of the Laplace transform

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Stability and Convergence of Collocation Schemes for Retarded Potential Integral Equations

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Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform

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Fractional Calculus: Integral and Differential Equations of Fractional Order

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The partial differential equation u<sub>t</sub> + uu<sub>x</sub> = μ<sub>xx</sub>

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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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Fractional Pearson diffusions

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On the numerical inversion of the Laplace transform of certain holomorphic mappings

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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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Numerical solution of the space fractional Fokker-Planck equation.

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A semi-alternating direction method for a 2-D fractional Fitzhugh-Nagumo monodomain model on an approximate irregular domain

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

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

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Stochastic models for fractional calculus

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A parallel method for time discretization of parabolic equations based on Laplace transformation and quadrature

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The Accurate Numerical Inversion of Laplace Transforms

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A localized transform-based meshless method for solving time fractional wave-diffusion equation

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RBFs approximation method for time fractional partial differential equations

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

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

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

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

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

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

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.7153/FDC-2019-09-06

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Sitelinks

Mathematics(1 entry)

mardi Publication:5229310

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