scientific article; zbMATH DE number 7569367

DOI10.12941/JKSIAM.2022.26.121zbMath1492.91422MaRDI QIDQ5095447

Mohammad-Mehdi Hosseini, Razieh Delpasand

Publication date: 8 August 2022

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

radial basis functionsconvergencyfractional Black-Scholes equationtwo-asset option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11) Numerical radial basis function approximation (65D12)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Radial basis functions method for valuing options: a multinomial tree approach
• Pricing European and American options by radial basis point interpolation
• Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
• Miscellaneous error bounds for multiquadric and related interpolators
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Numerical solution of time-fractional Black-Scholes equation
• A new method for evaluating options based on multiquadric RBF-FD method
• Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
• Numerical approximation of a time-fractional Black-Scholes equation
• Radial basis function partition of unity methods for pricing vanilla basket options
• 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
• Solution of the fractional Black-Scholes option pricing model by finite difference method
• Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
• A space-time spectral method for time-fractional Black-Scholes equation
• A compact finite difference scheme for fractional Black-Scholes option pricing model
• Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
• Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
• Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models
• Spectral convergence of multiquadric interpolation
• Advances in Fractional Calculus
• AN ACCURATE AND EFFICIENT NUMERICAL METHOD FOR BLACK-SCHOLES EQUATIONS
• Scattered Data Approximation

This page was built for publication: