A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing

DOI10.1016/J.MATCOM.2019.10.016MaRDI QIDQ1997989zbMATH OpenOpenAlexWikidataFDO

Authors Wen Chen, Song Wang

Publication date 6 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2019.10.016

zbMATH Keywords

option pricingfinite differencealternating direction implicit methodtwo-dimensional spatial-fractional Black-Scholes equation

Mathematics Subject Classification ID

Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Miscellaneous topics in partial differential equations (35Rxx)

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Cites work

• scientific article; zbMATH DE number 3667100 (Why is no real title available?)
• A 2nd-order FDM for a 2D fractional Black-Scholes equation
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• A fast finite difference method for three-dimensional time-dependent space-fractional diffusion equations and its efficient implementation
• A finite difference method for pricing European and American options under a geometric Lévy process
• A general formulation of alternating direction methods. I: Parabolic and hyperbolic problems
• A novel compact ADI scheme for the time-fractional subdiffusion equation in two space dimensions
• A penalty method for a fractional order parabolic variational inequality governing American put option valuation
• A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
• A second-order accurate numerical method for the two-dimensional fractional diffusion equation
• Alternating direction methods for three space variables
• An \(O(N \log ^{2}N)\) alternating-direction finite difference method for two-dimensional fractional diffusion equations
• Finite difference methods for two-dimensional fractional dispersion equation
• On application of an alternating direction method to Hamilton--Jacobin--Bellman equations.
• Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
• Some high accuracy difference with a Splitting operator for equations of parabolic and elliptic type
• The Numerical Solution of Parabolic and Elliptic Differential Equations

Cited in

(17)

• Efficient and accurate finite difference method for the four underlying asset ELS
• A 2nd-order FDM for a 2D fractional Black-Scholes equation
• Optimal non-uniform finite difference grids for the Black-Scholes equations
• Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option
• A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
• Spectrally accurate option pricing under the time-fractional Black-Scholes model
• Numerical analysis of fractional order Black-Scholes option pricing model with band equation method
• An operator splitting method for multi-asset options with the Feynman-Kac formula
• On the solution of two-dimensional fractional Black-Scholes equation for European put option
• PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING
• A second-order ADI method for pricing options under fractional regime-switching models
• Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
• A space-time spectral method for time-fractional Black-Scholes equation
• Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
• Pricing European two-asset option using the spectral method with second-kind Chebyshev polynomials
• Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition
• An efficient hybrid numerical method for the two-asset Black-Scholes PDE

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