A comparison of numerical solutions of fractional diffusion models in finance
From MaRDI portal
Recommendations
- A second order numerical scheme for fractional option pricing models
- Preconditioned iterative methods for fractional diffusion models in finance
- Numerical solution of time-fractional Black-Scholes equation
- Numerical method for KoBol fractional option pricing model
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
Cites work
- An algorithm for Adomian decomposition method
- An approximate solution of a nonlinear fractional differential equation by Adomian decomposition method
- Finite difference approximations for two-sided space-fractional partial differential equations
- scientific article; zbMATH DE number 438987 (Why is no real title available?)
- scientific article; zbMATH DE number 439383 (Why is no real title available?)
- Lévy flights and related topics in physics. Proceedings of the international workshop, held at Nice, France, 27-30 June, 1994
- Waiting-times and returns in high-frequency financial data: An empirical study
Cited in
(49)- Well-posedness and numerical approximation of tempered fractional terminal value problems
- A space-time fractional derivative model for European option pricing with transaction costs in fractal market
- Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling
- Algorithms of finite difference for pricing American options under fractional diffusion models
- Stock loan valuation based on the finite moment log-stable process
- Spectral methods for substantial fractional differential equations
- A semianalytical solution of the fractional derivative model and its application in financial market
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
- Two reliable methods for solving the (3 + 1)-dimensional space-time fractional Jimbo-Miwa equation
- Numerical approximation of 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
- Study on the existence and approximate solution of fractional differential equations with delay and its applications to financial models
- Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
- Probability-conservative simulation for \textit{Lévy} financial model by a mixed finite element method
- A second order numerical method for the time-fractional Black-Scholes European option pricing model
- A class of fourth-order Padé schemes for fractional exotic options pricing model
- Time fractional capital-induced labor migration model
- Conformable space-time fractional nonlinear (1+1)-dimensional Schrödinger-type models and their traveling wave solutions
- Convergence analysis of a LDG method for time-space tempered fractional diffusion equations with weakly singular solutions
- A comparison study of bank data in fractional calculus
- Legendre spectral methods based on two families of novel second-order numerical formulas for the fractional activator-inhibitor system
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- Pricing stock loans with the CGMY model
- A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- Fractional calculus in economic growth modelling of the group of seven
- Numerical simulation of a finite moment log stable model for a European call option
- A comparison study of explicit and implicit numerical methods for the equity-linked securities
- Circulant preconditioning technique for barrier options pricing under fractional diffusion models
- High order schemes for the tempered fractional diffusion equations
- scientific article; zbMATH DE number 5991675 (Why is no real title available?)
- Numerical and analytical solutions of new generalized fractional diffusion equation
- Preconditioned iterative methods for fractional diffusion models in finance
- ANALYSIS OF FRACTIONAL DIFFUSION MODELS IN FINANCE
- Solving space-fractional diffusion equations by using HSSOR method
- The existence and numerical solution for a k-dimensional system of multi-term fractional integro-differential equations
- Numerical method for KoBol fractional option pricing model
- A second order numerical scheme for fractional option pricing models
- Analysis of malaria dynamics using its fractional order mathematical model
- Convergence analysis of a LDG method for tempered fractional convection–diffusion equations
- Efficient Multistep Methods for Tempered Fractional Calculus: Algorithms and Simulations
- Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics
- Reduced differential transform and Sumudu transform methods for solving fractional financial models of awareness
- Unconditionally convergent numerical method for the fractional activator–inhibitor system with anomalous diffusion
- Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
- A numerical scheme for fractional order mortgage model of economics
- A fast high-order nonpolynomial spline method for nonlinear time-fractional telegraph model for neutron transport in a nuclear reactor
- Moments for tempered fractional advection-diffusion equations
This page was built for publication: A comparison of numerical solutions of fractional diffusion models in finance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1036770)
