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scientific article; zbMATH DE number 7811157

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7811157

Statements

scholarly article

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Mahmood Khaksar-e Oshagh

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publication date

29 February 2024

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zbMATH Keywords

Black-Scholes inequality

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American option price

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obstacle problem

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parabolic variational inequality

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Caputo and Riemann-Liouville fractional derivative

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interpolating wavelets

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adaptive mesh Refinement

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semi-smooth Newton method

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MaRDI profile type

MaRDI publication profile

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Numerical approximation of a time-fractional Black-Scholes equation

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A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing

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

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A wavelet-like Galerkin method for numerical solution of variational inequalities arising in elastoplasticity

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Solution of monotone complementarity problems with locally Lipschitzian functions

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

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Solving Hyperbolic PDEs Using Interpolating Wavelets

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An adaptive moving mesh method for a time-fractional Black-Scholes equation

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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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Direct pseudo-spectral method for optimal control of obstacle problem - an optimal control problem governed by elliptic variational inequality

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An adaptive wavelet collocation method for solving optimal control of elliptic variational inequalities of the obstacle type

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Numerical solution of time-fractional Black-Scholes equation

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A novel local meshless scheme based on the radial basis function for pricing multi-asset options

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WAMR: an adaptive wavelet method for the simulation of compressible reacting flow. Part I: Accuracy and efficiency of algorithm

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An <i>hp</i>‐adaptive finite element model for heat transfer within partitioned enclosures

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Local RBF-FD technique for solving the two-dimensional modified anomalous sub-diffusion equation

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A nonsmooth version of Newton's method

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Wavelet-based adaptive multiresolution computation of viscous reactive flows

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Adaptive wavelet collocation method on the shallow water model

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A new modified semi-analytical technique for a fractional-order Ebola virus disease model

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Semismooth Newton Methods for Operator Equations in Function Spaces

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An adaptive multilevel wavelet collocation method for elliptic problems

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A fast adaptive wavelet collocation algorithm for multidimensional PDEs

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Laplace transform methods for a free boundary problem of time-fractional partial differential equation system

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.22034/CMDE.2023.54659.2277

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Sitelinks

Mathematics(1 entry)

mardi Publication:6119113

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