scientific article; zbMATH DE number 2015688
From MaRDI portal
Publication:4438488
zbMath1058.91045MaRDI QIDQ4438488
Publication date: 9 December 2003
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional derivatives and integrals (26A33) Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60)
Related Items (89)
A block-centred finite difference method for the distributed-order differential equation with Neumann boundary condition ⋮ Solving Black-Scholes equations using fractional generalized homotopy analysis method ⋮ Two temporal second-order \(H^1\)-Galerkin mixed finite element schemes for distributed-order fractional sub-diffusion equations ⋮ An accurate solution for the generalized Black-Scholes equations governing option pricing ⋮ Stability and convergence of a new finite volume method for a two-sided space-fractional diffusion equation ⋮ Stability and convergence analysis of a class of continuous piecewise polynomial approximations for time-fractional differential equations ⋮ A block-centered finite difference method for the distributed-order time-fractional diffusion-wave equation ⋮ Touchard wavelet technique for solving time-fractional Black-Scholes model ⋮ An adaptive moving mesh method for a time-fractional Black-Scholes equation ⋮ Analysis of the equilibrium positions of nonlinear dynamical systems in the presence of coarse-graining disturbance in space ⋮ Two regularization methods for identifying the source term problem on the time-fractional diffusion equation with a hyper-Bessel operator ⋮ Application of two-dimensional Fibonacci wavelets in fractional partial differential equations arising in the financial market ⋮ Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative ⋮ Investigation of the fractional coupled viscous Burgers' equation involving Mittag-Leffler kernel ⋮ A difference method with parallel nature for solving time-space fractional Black-Scholes model ⋮ Numerically pricing double barrier options in a time-fractional Black-Scholes model ⋮ Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method ⋮ On a time-fractional integrodifferential equation via three-point boundary value conditions ⋮ Efficient high-order compact exponential time differencing method for space-fractional reaction-diffusion systems with nonhomogeneous boundary conditions ⋮ From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series ⋮ Operational methods and differential equations with applications to initial-value problems ⋮ Restricted fractional differential transform for solving irrational order fractional differential equations ⋮ A space-time fractional derivative model for European option pricing with transaction costs in fractal market ⋮ On the numerical solution of time fractional Black-Scholes equation ⋮ Fast numerical scheme for the time-fractional option pricing model with asset-price-dependent variable order ⋮ Computational algorithm for financial mathematical model based on European option ⋮ Structure-preserving algorithms for the two-dimensional fractional Klein-Gordon-Schrödinger equation ⋮ A hybrid radial basis functions collocation technique to numerically solve fractional advection–diffusion models ⋮ A non-stationary iterative Tikhonov regularization method for simultaneous inversion in a time-fractional diffusion equation ⋮ Design and analysis of a numerical method for fractional neutron diffusion equation with delayed neutrons ⋮ A weighted finite difference method for subdiffusive Black-Scholes model ⋮ A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance ⋮ A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation ⋮ Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option ⋮ A fast and high-order IMEX method for non-linear time-space-fractional reaction-diffusion equations ⋮ Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes ⋮ Operational methods, fractional operators and special polynomials. ⋮ A new operator splitting method for American options under fractional Black-Scholes models ⋮ Finite difference/finite element method for a novel 2D multi-term time-fractional mixed sub-diffusion and diffusion-wave equation on convex domains ⋮ A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation ⋮ Numerical solutions for the three-point boundary value problem of nonlinear fractional differential equations ⋮ Unnamed Item ⋮ Numerical solution of the space fractional Fokker-Planck equation. ⋮ Time fractional advection-dispersion equation ⋮ Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution ⋮ Fractional Green function for linear time-fractional inhomogeneous partial differential equations in fluid mechanics ⋮ A predictor-corrector approach for pricing American options under the finite moment log-stable model ⋮ Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions ⋮ Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option ⋮ SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL ⋮ On a semi-linear system of nonlocal time and space reaction diffusion equations with exponential nonlinearities ⋮ Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results ⋮ On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options ⋮ Numerical approximation of a time-fractional Black-Scholes equation ⋮ An explicit closed-form analytical solution for European options under the CGMY model ⋮ Numerical methods for fractional partial differential equations with Riesz space fractional derivatives ⋮ Analytically pricing double barrier options based on a time-fractional Black-Scholes equation ⋮ Numerical solution of the time fractional Black-Scholes model governing European options ⋮ Fast numerical simulation of a new time-space fractional option pricing model governing European call option ⋮ Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation ⋮ Unnamed Item ⋮ An efficient split-step method for distributed-order space-fractional reaction-diffusion equations with time-dependent boundary conditions ⋮ Solution of the fractional Black-Scholes option pricing model by finite difference method ⋮ Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio ⋮ On a reaction diffusion equation with nonlinear time-nonlocal source term ⋮ On high-order schemes for tempered fractional partial differential equations ⋮ Unnamed Item ⋮ Numerical methods for pricing American options with time-fractional PDE models ⋮ A universal difference method for time-space fractional Black-Scholes equation ⋮ Numerical method to initial-boundary value problems for fractional partial differential equations with time-space variable coefficients ⋮ The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option ⋮ The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes ⋮ Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation ⋮ A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options ⋮ Stability and convergence based on the finite difference method for the nonlinear fractional cable equation on non-uniform staggered grids ⋮ A compact quadratic spline collocation method for the time-fractional Black-Scholes model ⋮ A novel numerical scheme for a time fractional Black-Scholes equation ⋮ Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation ⋮ Fractional Black-Scholes model with regularized Prabhakar derivative ⋮ Generalised class of time fractional black Scholes equation and numerical analysis ⋮ Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market ⋮ An efficient compact difference method for temporal fractional subdiffusion equations ⋮ An approach via fractional analysis to non-linearity induced by coarse-graining in space ⋮ A second order numerical method for the time-fractional Black-Scholes European option pricing model ⋮ Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models ⋮ COMPACT FINITE DIFFERENCE SCHEMES OF THE TIME FRACTIONAL BLACK-SCHOLES MODEL ⋮ Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing ⋮ Almost sure and moment stability properties of fractional order Black-Scholes model ⋮ Efficient numerical techniques for computing the Riesz fractional-order reaction-diffusion models arising in biology
This page was built for publication:
