An adaptive moving mesh method for a time-fractional Black-Scholes equation (Q2142034): Difference between revisions

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+A second-order scheme for a time-fractional diffusion equation
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+Numerical approximation of a time-fractional Black-Scholes equation
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+A robust and accurate finite difference method for a generalized Black-Scholes equation
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+A new operator splitting method for American options under fractional Black-Scholes models
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+Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
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+Parameter uniform optimal order numerical approximation of a class of singularly perturbed system of reaction diffusion problems involving a small perturbation parameter
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+Numerically pricing double barrier options in a time-fractional Black-Scholes model
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+An efficient robust numerical method for singularly perturbed Burgers' equation
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+A fitted scheme for a Caputo initial-boundary value problem
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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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+Analysis of Some Difference Approximations for a Singular Perturbation Problem Without Turning Points
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+Numerical solution of time-fractional Black-Scholes equation
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+Grid equidistribution for reaction-diffusion problems in one dimension
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+Sharp Error Estimate of the Nonuniform L1 Formula for Linear Reaction-Subdiffusion Equations
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+An adaptive moving grid method for a system of singularly perturbed initial value problems
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+A-posteriori error estimation in maximum norm for a strongly coupled system of two singularly perturbed convection-diffusion problems
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+Maximum principle for the generalized time-fractional diffusion equation
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+A high-order method with a temporal nonuniform mesh for a time-fractional Benjamin-Bona-Mahony equation
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+Solution of the fractional Black-Scholes option pricing model by finite difference method
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+Error Analysis of a Finite Difference Method on Graded Meshes for a Time-Fractional Diffusion Equation
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+Some mathematical results in the pricing of American options
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+Q4438488
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+Numerical solution of the time fractional Black-Scholes model governing European options
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