A comparison of numerical solutions of fractional diffusion models in finance
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Cited in
(47)- Numerical solution of the time fractional Black-Scholes model governing European options
- Convergence analysis of a LDG method for tempered fractional convection–diffusion equations
- Stock loan valuation based on the finite moment log-stable process
- Time fractional capital-induced labor migration model
- A class of fourth-order Padé schemes for fractional exotic options pricing model
- Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
- A numerical scheme for fractional order mortgage model of economics
- Legendre spectral methods based on two families of novel second-order numerical formulas for the fractional activator-inhibitor system
- Well-posedness and numerical approximation of tempered fractional terminal value problems
- A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation
- Solving space-fractional diffusion equations by using HSSOR method
- ANALYSIS OF FRACTIONAL DIFFUSION MODELS IN FINANCE
- A second order numerical scheme for fractional option pricing 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 simulation of a finite moment log stable model for a European call option
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- High order schemes for the tempered fractional diffusion equations
- Numerical and analytical solutions of new generalized fractional diffusion equation
- scientific article; zbMATH DE number 5991675 (Why is no real title available?)
- Preconditioned iterative methods for fractional diffusion models in finance
- Fractional calculus in economic growth modelling of the group of seven
- 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
- Convergence analysis of a LDG method for time-space tempered fractional diffusion equations with weakly singular solutions
- Study on the existence and approximate solution of fractional differential equations with delay and its applications to financial models
- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
- A semianalytical solution of the fractional derivative model and its application in financial market
- Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
- Reduced differential transform and Sumudu transform methods for solving fractional financial models of awareness
- Numerical method for KoBol fractional option pricing model
- A second order numerical method for the time-fractional Black-Scholes European option pricing model
- A space-time fractional derivative model for European option pricing with transaction costs in fractal market
- Efficient Multistep Methods for Tempered Fractional Calculus: Algorithms and Simulations
- A comparison study of bank data in fractional calculus
- Analysis of malaria dynamics using its fractional order mathematical model
- Conformable space-time fractional nonlinear (1+1)-dimensional Schrödinger-type models and their traveling wave solutions
- Fast numerical simulation of a new time-space fractional option pricing model governing European call option
- Pricing stock loans with the CGMY model
- Moments for tempered fractional advection-diffusion equations
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling
- The existence and numerical solution for a k-dimensional system of multi-term fractional integro-differential equations
- Unconditionally convergent numerical method for the fractional activator–inhibitor system with anomalous diffusion
- Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics
- Algorithms of finite difference for pricing American options under fractional diffusion models
- Spectral methods for substantial fractional differential equations
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