A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing (Q1997989): Difference between revisions

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English	A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing	scientific article

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scholarly article

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title

A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing (English)

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Mathematics and Computers in Simulation

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publication date

6 March 2021

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zbMATH Keywords

two-dimensional spatial-fractional Black-Scholes equation

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alternating direction implicit method

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option pricing

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finite difference

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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.matcom.2019.10.016

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cites work

A novel compact ADI scheme for the time-fractional subdiffusion equation in two space dimensions

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A penalty method for a fractional order parabolic variational inequality governing American put option valuation

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A finite difference method for pricing European and American options under a geometric Lévy process

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A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation

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A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing

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Alternating direction methods for three space variables

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A general formulation of alternating direction methods. I: Parabolic and hyperbolic problems

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Some high accuracy difference with a Splitting operator for equations of parabolic and elliptic type

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A High Accuracy Alternating Direction Method for the Wave Equation

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A New Alternating Direction Method for Parabolic Equations in Three Space Variables

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On application of an alternating direction method to Hamilton--Jacobin--Bellman equations.

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Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme

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Finite difference methods for two-dimensional fractional dispersion equation

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Q3864730

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The Numerical Solution of Parabolic and Elliptic Differential Equations

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A second-order accurate numerical method for the two-dimensional fractional diffusion equation

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A fast finite difference method for three-dimensional time-dependent space-fractional diffusion equations and its efficient implementation

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An \(O(N \log ^{2}N)\) alternating-direction finite difference method for two-dimensional fractional diffusion equations

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Identifiers

DOI

10.1016/j.matcom.2019.10.016

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1997989

@@ Property / cites work @@
+A novel compact ADI scheme for the time-fractional subdiffusion equation in two space dimensions
+Normal rank
@@ Property / cites work @@
+A penalty method for a fractional order parabolic variational inequality governing American put option valuation
+Normal rank
@@ Property / cites work @@
+A finite difference method for pricing European and American options under a geometric Lévy process
+Normal rank
@@ Property / cites work @@
+A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation
+Normal rank
@@ Property / cites work @@
+A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
+Normal rank
@@ Property / cites work @@
+Alternating direction methods for three space variables
+Normal rank
@@ Property / cites work @@
+A general formulation of alternating direction methods. I: Parabolic and hyperbolic problems
+Normal rank
@@ Property / cites work @@
+Some high accuracy difference with a Splitting operator for equations of parabolic and elliptic type
+Normal rank
@@ Property / cites work @@
+A High Accuracy Alternating Direction Method for the Wave Equation
+Normal rank
@@ Property / cites work @@
+A New Alternating Direction Method for Parabolic Equations in Three Space Variables
+Normal rank
@@ Property / cites work @@
+On application of an alternating direction method to Hamilton--Jacobin--Bellman equations.
+Normal rank
@@ Property / cites work @@
+Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
+Normal rank
@@ Property / cites work @@
+Finite difference methods for two-dimensional fractional dispersion equation
+Normal rank
@@ Property / cites work @@
+Q3864730
@@ Property / cites work: Q3864730 / rank @@
+Normal rank
@@ Property / cites work @@
+The Numerical Solution of Parabolic and Elliptic Differential Equations
+Normal rank
@@ Property / cites work @@
+A second-order accurate numerical method for the two-dimensional fractional diffusion equation
+Normal rank
@@ Property / cites work @@
+A fast finite difference method for three-dimensional time-dependent space-fractional diffusion equations and its efficient implementation
+Normal rank
@@ Property / cites work @@
+An \(O(N \log ^{2}N)\) alternating-direction finite difference method for two-dimensional fractional diffusion equations
+Normal rank