A novel numerical scheme for a time fractional Black-Scholes equation (Q2053261): Difference between revisions

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English	A novel numerical scheme for a time fractional Black-Scholes equation	scientific article

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scholarly article

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A novel numerical scheme for a time fractional Black-Scholes equation (English)

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Journal of Applied Mathematics and Computing

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publication date

29 November 2021

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zbMATH Keywords

time-fractional Black-Scholes model

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Chebyshev-Galerkin spectral method

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change of variable

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modified \(L1\) scheme

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s12190-020-01467-9

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The Pricing of Options and Corporate Liabilities

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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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A novel analytical technique for the solution of time-fractional Ivancevic option pricing model

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

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

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A reliable treatment of residual power series method for time-fractional Black-Scholes European option pricing equations

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A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options

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

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Numerical solution of time-fractional Black-Scholes equation

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A universal difference method for time-space fractional Black-Scholes equation

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Analysis of L1-Galerkin FEMs for Time-Fractional Nonlinear Parabolic Problems

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Unconditionally Convergent $L1$-Galerkin FEMs for Nonlinear Time-Fractional Schrödinger Equations

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Analysis of the compact difference scheme for the semilinear fractional partial differential equation with time delay

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A fully discrete difference scheme for a diffusion-wave system

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Analytical Approach for Nonlinear Partial Differential Equations of Fractional Order

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A Spectral Method (of Exponential Convergence) for Singular Solutions of the Diffusion Equation with General Two-Sided Fractional Derivative

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Linearized compact ADI schemes for nonlinear time-fractional Schrödinger equations

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A Space-Time Petrov-Galerkin Spectral Method for Time Fractional Diffusion Equation

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A Linearized Second-Order Difference Scheme for the Nonlinear Time-Fractional Fourth-Order Reaction-Diffusion Equation

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A High-Order Accuracy Method for Solving the Fractional Diffusion Equations

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An efficient collocation method for a Caputo two-point boundary value problem

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A finite difference method for a two-point boundary value problem with a Caputo fractional derivative

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Central difference approximation of convection in Caputo fractional derivative two-point boundary value problems

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Exact solutions and numerical study of time fractional Burgers' equations

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Numerical Analysis of Nonlinear Subdiffusion Equations

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A Novel Numerical Approach to Time-Fractional Parabolic Equations with Nonsmooth Solutions

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Error Analysis of a Finite Difference Method on Graded Meshes for a Time-Fractional Diffusion Equation

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Numerical approximation of a time-fractional Black-Scholes equation

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Linearized Galerkin FEMs for nonlinear time fractional parabolic problems with non-smooth solutions in time direction

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Error analysis of the L1 method on graded and uniform meshes for a fractional-derivative problem in two and three dimensions

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Implicit-Explicit Difference Schemes for Nonlinear Fractional Differential Equations with Nonsmooth Solutions

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Correction of High-Order BDF Convolution Quadrature for Fractional Evolution Equations

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Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications

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Spectral Methods

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Approximation Results for Orthogonal Polynomials in Sobolev Spaces

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Analysis of Chebyshev Collocation Methods for Parabolic Equations

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Galerkin Finite Element Methods for Parabolic Problems

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Nonuniform Alikhanov linearized Galerkin finite element methods for nonlinear time-fractional parabolic equations

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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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10.1007/S12190-020-01467-9

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Sitelinks

Mathematics(1 entry)

mardi Publication:2053261

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