On the numerical solution of time fractional Black-Scholes equation (Q5097808)

scientific article; zbMATH DE number 7579659

Language	Label	Description	Also known as
English	On the numerical solution of time fractional Black-Scholes equation	scientific article; zbMATH DE number 7579659

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instance of

scholarly article

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title

On the numerical solution of time fractional Black-Scholes equation (English)

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International Journal of Computer Mathematics

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publication date

1 September 2022

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zbMATH Keywords

time fractional partial differential equation

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multiquadric quasi-interpolation scheme

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radial basis function

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Black-Scholes equation

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meshless method

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2021.2011248

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cites work

Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation

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Q5411291

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Univariate multiquadric approximation: Quasi-interpolation to scattered data

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Numerical approximation of a time-fractional Black-Scholes equation

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Finite difference approximations for the fractional Fokker-Planck equation

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

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Analytically pricing double barrier options based on a time-fractional Black-Scholes equation

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Numerically pricing American options under the generalized mixed fractional Brownian motion model

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Q5691797

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Solving nonlinear fractional partial differential equations using the homotopy analysis method

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Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform

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Stability and convergence of a new finite volume method for a two-sided space-fractional diffusion equation

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

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Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing

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An efficient numerical scheme for Burger equation

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High accuracy multiquadric quasi-interpolation

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

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Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates

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Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry

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On a new family of radial basis functions: mathematical analysis and applications to option pricing

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Numerical solution of time-fractional Black-Scholes equation

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Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)

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Q3568034

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Multivariate Interpolation and Conditionally Positive Definite Functions. II

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Implicit finite difference approximation for time fractional diffusion equations

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Numerical solution of a time-space fractional Fokker Planck equation with variable force field and diffusion

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Solutions of the space-time fractional Cattaneo diffusion equation

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On the numerical solution of one-dimensional nonlinear nonhomogeneous Burgers' equation

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On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation

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

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A meshfree interpolation method for the numerical solution of the coupled nonlinear partial differential equations

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Shape preserving properties and convergence of univariate multiquadric quasi-interpolation

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Q4438488

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A numerical method for heat transfer problems using collocation and radial basis functions

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

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New Solution and Analytical Techniques of the Implicit Numerical Method for the Anomalous Subdiffusion Equation

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Finite volume and finite element methods for solving a one-dimensional space-fractional Boussinesq equation

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Identifiers

DOI

10.1080/00207160.2021.2011248

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5097808