Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes (Q6157966): Difference between revisions

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scientific article; zbMATH DE number 7700264

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English	Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes	scientific article; zbMATH DE number 7700264

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instance of

scholarly article

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title

Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes (English)

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Journal of Computational and Applied Mathematics

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publication date

22 June 2023

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zbMATH Keywords

Caputo fractional derivative

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graded mesh

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radial basis function

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memory

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option pricing

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convergence analysis

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MaRDI profile type

Publication

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cites work

Tools for computational finance

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A sixth order numerical method and its convergence for generalized Black-Scholes PDE

0 references

An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options

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The Time-Discrete Method of Lines for Options and Bonds

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Isogeometric analysis for time-fractional partial differential equations

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On Geometric Inverse Problems in Time-Fractional Subdiffusion

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Q4438488

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A compact finite difference scheme for fractional Black-Scholes option pricing model

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Arbitrage with Fractional Brownian Motion

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FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE

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

0 references

NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

0 references

An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions

0 references

Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio

0 references

Fractional order stochastic differential equation with application in European option pricing

0 references

Maximum principle for the generalized time-fractional diffusion equation

0 references

Generalised class of time fractional black Scholes equation and numerical analysis

0 references

Long-Term Memory in Stock Market Prices

0 references

Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results

0 references

An algorithm for the numerical solution of differential equations of fractional order

0 references

An analysis of the L1 scheme for the subdiffusion equation with nonsmooth data

0 references

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

0 references

Q4233638

0 references

A higher order numerical method for time fractional partial differential equations with nonsmooth data

0 references

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

0 references

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

0 references

Q5054025

0 references

A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option

0 references

Penalty methods for American options with stochastic volatility

0 references

Convergence order estimates of meshless collocation methods using radial basis functions

0 references

An insight into RBF-FD approximations augmented with polynomials

0 references

Q3446085

0 references

The Numerical Solution of Weakly Singular Volterra Integral Equations by Collocation on Graded Meshes

0 references

Optimal-order error estimates of finite element approximations to variable-order time-fractional diffusion equations without regularity assumptions of the true solutions

0 references

A Fast High Order Method for the Time-Fractional Diffusion Equation

0 references

Numerical approximation of a time-fractional Black-Scholes equation

0 references

Gaussian RBF-FD weights and its corresponding local truncation errors

0 references

Preconditioned global GPBiCG method for solving saddle point problems with multiple right-hand sides and its convergence analysis

0 references

Illustrating finance policy with Mathematica

0 references

On the convergence of finite difference methods for PDE under temporal refinement

0 references

Identifiers

DOI

10.1016/j.cam.2023.115075

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6157966

@@ Property / cites work @@
+Tools for computational finance
@@ Property / cites work: Tools for computational finance / rank @@
+Normal rank
@@ Property / cites work @@
+A sixth order numerical method and its convergence for generalized Black-Scholes PDE
+Normal rank
@@ Property / cites work @@
+An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
+Normal rank
@@ Property / cites work @@
+The Time-Discrete Method of Lines for Options and Bonds
+Normal rank
@@ Property / cites work @@
+Isogeometric analysis for time-fractional partial differential equations
+Normal rank
@@ Property / cites work @@
+On Geometric Inverse Problems in Time-Fractional Subdiffusion
+Normal rank
@@ Property / cites work @@
+Q4438488
@@ Property / cites work: Q4438488 / rank @@
+Normal rank
@@ Property / cites work @@
+A compact finite difference scheme for fractional Black-Scholes option pricing model
+Normal rank
@@ Property / cites work @@
+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
+Normal rank
@@ Property / cites work @@
+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
+Normal rank
@@ Property / cites work @@
+A note on Wick products and the fractional Black-Scholes model
+Normal rank
@@ Property / cites work @@
+NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
+Normal rank
@@ Property / cites work @@
+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
+Normal rank
@@ Property / cites work @@
+Fractional order stochastic differential equation with application in European option pricing
+Normal rank
@@ Property / cites work @@
+Maximum principle for the generalized time-fractional diffusion equation
+Normal rank
@@ Property / cites work @@
+Generalised class of time fractional black Scholes equation and numerical analysis
+Normal rank
@@ Property / cites work @@
+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
+Normal rank
@@ Property / cites work @@
+An algorithm for the numerical solution of differential equations of fractional order
+Normal rank
@@ Property / cites work @@
+An analysis of the L1 scheme for the subdiffusion equation with nonsmooth data
+Normal rank
@@ Property / cites work @@
+Error analysis of the L1 method on graded and uniform meshes for a fractional-derivative problem in two and three dimensions
+Normal rank
@@ Property / cites work @@
+Q4233638
@@ Property / cites work: Q4233638 / rank @@
+Normal rank
@@ Property / cites work @@
+A higher order numerical method for time fractional partial differential equations with nonsmooth data
+Normal rank
@@ Property / cites work @@
+Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
+Normal rank
@@ Property / cites work @@
+Numerical solution of the time fractional Black-Scholes model governing European options
+Normal rank
@@ Property / cites work @@
+Q5054025
@@ Property / cites work: Q5054025 / rank @@
+Normal rank
@@ Property / cites work @@
+A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Convergence order estimates of meshless collocation methods using radial basis functions
+Normal rank
@@ Property / cites work @@
+An insight into RBF-FD approximations augmented with polynomials
+Normal rank
@@ Property / cites work @@
+Q3446085
@@ Property / cites work: Q3446085 / rank @@
+Normal rank
@@ Property / cites work @@
+The Numerical Solution of Weakly Singular Volterra Integral Equations by Collocation on Graded Meshes
+Normal rank
@@ Property / cites work @@
+Optimal-order error estimates of finite element approximations to variable-order time-fractional diffusion equations without regularity assumptions of the true solutions
+Normal rank
@@ Property / cites work @@
+A Fast High Order Method for the Time-Fractional Diffusion Equation
+Normal rank
@@ Property / cites work @@
+Numerical approximation of a time-fractional Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+Gaussian RBF-FD weights and its corresponding local truncation errors
+Normal rank
@@ Property / cites work @@
+Preconditioned global GPBiCG method for solving saddle point problems with multiple right-hand sides and its convergence analysis
+Normal rank
@@ Property / cites work @@
+Illustrating finance policy with Mathematica
@@ Property / cites work: Illustrating finance policy with Mathematica / rank @@
+Normal rank
@@ Property / cites work @@
+On the convergence of finite difference methods for PDE under temporal refinement
+Normal rank