A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
DOI10.1016/J.MATCOM.2019.10.016OpenAlexW2988207590WikidataQ113293525 ScholiaQ113293525MaRDI QIDQ1997989FDOQ1997989
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
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option pricingfinite differencealternating direction implicit methodtwo-dimensional spatial-fractional Black-Scholes equation
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Cites Work
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- A general formulation of alternating direction methods. I: Parabolic and hyperbolic problems
- Finite difference methods for two-dimensional fractional dispersion equation
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- Alternating direction methods for three space variables
- A finite difference method for pricing European and American options under a geometric Lévy process
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
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- A novel compact ADI scheme for the time-fractional subdiffusion equation in two space dimensions
- On application of an alternating direction method to Hamilton--Jacobin--Bellman equations.
- Some high accuracy difference with a Splitting operator for equations of parabolic and elliptic type
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- Pricing European options with proportional transaction costs and stochastic volatility using a penalty approach and a finite volume scheme
- A 2nd-order FDM for a 2D fractional Black-Scholes equation
- A New Alternating Direction Method for Parabolic Equations in Three Space Variables
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
- Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option
- Optimal non-uniform finite difference grids for the Black-Scholes equations
- A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
- Numerical analysis of fractional order Black-Scholes option pricing model with band equation method
- Spectrally accurate option pricing under the time-fractional Black-Scholes model
- 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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