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

DOI10.1016/j.camwa.2016.02.007zbMath1443.91335OpenAlexW2315653911MaRDI QIDQ2007215

Yanyan Li

Publication date: 12 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2016.02.007

zbMATH Keywords

numerical simulationCaputo fractional derivativeEuropean optionmodified Riemann-Liouville fractional derivativetime fractional Black-Scholes model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

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