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Please use this page instead for the normal view: scientific article; zbMATH DE number 7569367

scientific article; zbMATH DE number 7569367

Language	Label	Description	Also known as
default for all languages	No label defined
English	No label defined	scientific article; zbMATH DE number 7569367

Statements

scholarly article

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Razieh Delpasand

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Mohammad-Mehdi Hosseini

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publication date

8 August 2022

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zbMATH Keywords

two-asset option pricing

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fractional Black-Scholes equation

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radial basis functions

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convergency

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MaRDI profile type

MaRDI publication profile

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The pricing of options and corporate liabilities

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Linear functionals on \(\mathcal{O}_n\) associated to unit vectors

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Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach

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Pricing European and American options by radial basis point interpolation

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Radial basis function partition of unity methods for pricing vanilla basket options

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Radial basis functions method for valuing options: a multinomial tree approach

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Advances in Fractional Calculus

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Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications

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Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations

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Numerical solution of time-fractional Black-Scholes equation

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Solution of the fractional Black-Scholes option pricing model by finite difference method

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The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option

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Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models

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

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Fast numerical simulation of a new time-space fractional option pricing model governing European call option

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Numerical approximation of a time-fractional Black-Scholes equation

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A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options

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Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options

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A space-time spectral method for time-fractional Black-Scholes equation

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Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation

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

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An efficient hybrid numerical method for the two-asset Black-Scholes PDE

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A new method for evaluating options based on multiquadric RBF-FD method

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Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation

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Miscellaneous error bounds for multiquadric and related interpolators

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Spectral convergence of multiquadric interpolation

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Scattered Data Approximation

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.12941/JKSIAM.2022.26.121

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Sitelinks

Mathematics(1 entry)

mardi Publication:5095447

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