Solution of the fractional Black-Scholes option pricing model by finite difference method
From MaRDI portal
Publication:2015204
DOI10.1155/2013/194286zbMATH Open1291.91235OpenAlexW2141635952WikidataQ58915501 ScholiaQ58915501MaRDI QIDQ2015204FDOQ2015204
Authors: Lina Song, Weiguo Wang 
Publication date: 23 June 2014
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/194286
Recommendations
- Numerical solution of fractional Black-Scholes model of American put option pricing via a nonstandard finite difference method: stability and convergent analysis
- A compact finite difference scheme for fractional Black-Scholes option pricing model
- Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
- A fractional reduced differential transform method for solving time fractional Black Scholes American option pricing equation
- On the solution of two-dimensional fractional Black-Scholes equation for European put option
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Fractional partial differential equations (35R11) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
- Finite difference approximations for fractional advection-dispersion flow equations
- Compact finite difference scheme for the solution of time fractional advection-dispersion equation
- A closed-form exact solution for pricing variance swaps with stochastic volatility
- Option pricing when underlying stock returns are discontinuous
- Extended tanh-function method and its applications to nonlinear equations
- New explicit travelling wave solutions for two new integrable coupled nonlinear evolution equations
- Implicit finite difference approximation for time fractional diffusion equations
- Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
- Cauchy's integral formula via the modified Riemann-Liouville derivative for analytic functions of fractional order
- Adomian's decomposition method for solving an intermediate fractional advection-dispersion equation
- Stability and convergence of the difference methods for the space-time fractional advection-diffusion equation
- Finite difference methods and a Fourier analysis for the fractional reaction-subdiffusion equation
- Weighted average finite difference methods for fractional diffusion equations
- Numerical methods and analysis for a class of fractional advection-dispersion models
- A characteristic difference method for the transient fractional convection-diffusion equations
- An optimal homotopy-analysis approach for strongly nonlinear differential equations
- A reliable algorithm of homotopy analysis method for solving nonlinear fractional differential equations
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- European Option Pricing with Transaction Costs
- New solitary wave solutions to the Kuramoto-Sivashinsky and the Kawahara equations
- A note on Wick products and the fractional Black-Scholes model
- Time-dependent fractional advection-diffusion equations by an implicit MLS meshless method
- A second order explicit finite difference method for the fractional advection diffusion equation
- Title not available (Why is that?)
- Analytical modelling of fractional advection-dispersion equation defined in a bounded space domain
- On the numerical solution of nonlinear Black-Scholes equations
- A new Riccati equation rational expansion method and its application to \((2+1)\)-dimensional Burgers equation
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
- Numerical Methods in Finance and Economics
- Spectral regularization method for a Cauchy problem of the time fractional advection-dispersion equation
- Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
- Notes on `Implicit finite difference approximation for time fractional diffusion equations [Comput. Math. Appl. 56 (2008) 1138-1145]
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
Cited In (73)
- A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
- Applications of Hilfer-Prabhakar operator to option pricing financial model
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
- Numerical solution of the time fractional Black-Scholes model governing European options
- Faber-Schauder wavelet sparse grid approach for option pricing with transactions cost
- Solving Black-Scholes equations using fractional generalized homotopy analysis method
- CDS pricing with fractional Hawkes processes
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model
- The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation
- Spectrally accurate option pricing under the time-fractional Black-Scholes model
- Title not available (Why is that?)
- Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing
- A compact finite difference scheme for fractional Black-Scholes option pricing model
- The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense
- Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation
- An optimization method based on the generalized polynomials for nonlinear variable-order time fractional diffusion-wave equation
- Group formalism of Lie transformations, conservation laws, exact and numerical solutions of non-linear time-fractional Black-Scholes equation
- Numerical approximation of a time-fractional Black-Scholes equation
- Title not available (Why is that?)
- A universal difference method for time-space fractional Black-Scholes equation
- European option pricing models described by fractional operators with classical and generalized<scp>Mittag‐Leffler</scp>kernels
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- Optimal algebra and power series solution of fractional Black-Scholes pricing model
- Numerical method to initial-boundary value problems for fractional partial differential equations with time-space variable coefficients
- The solutions to a bi-fractional Black-Scholes-Merton differential equation
- Two linearized finite difference schemes for time fractional nonlinear diffusion-wave equations with fourth order derivative
- Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method
- Fractional model and solution for the Black-Scholes equation
- Title not available (Why is that?)
- The stability of solutions for a fractional predator-prey system
- A new operator splitting method for American options under fractional Black-Scholes models
- Novel approaches for getting the solution of the fractional Black-Scholes equation described by Mittag-Leffler fractional derivative
- Title not available (Why is that?)
- A linearized finite difference scheme for time-space fractional nonlinear diffusion-wave equations with initial singularity
- Title not available (Why is that?)
- A semianalytical solution of the fractional derivative model and its application in financial market
- Numerical solution of fractional Black-Scholes model of American put option pricing via a nonstandard finite difference method: stability and convergent analysis
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black-Scholes
- Restricted fractional differential transform for solving irrational order fractional differential equations
- A fractional reduced differential transform method for solving time fractional Black Scholes American option pricing equation
- Approximate-analytical solution to the information measure's based quanto option pricing model
- Compact finite difference schemes of the time fractional Black-Scholes model
- A space-time fractional derivative model for European option pricing with transaction costs in fractal market
- An adaptive moving mesh method for a time-fractional Black-Scholes equation
- Solving fractional Black-Scholes equation by using Boubaker functions
- Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
- Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
- A difference method with parallel nature for solving time-space fractional Black-Scholes model
- Numerical schemes for time-space fractional vibration equations
- A hybrid radial basis functions collocation technique to numerically solve fractional advection–diffusion models
- Fast numerical simulation of a new time-space fractional option pricing model governing European call option
- A different approach to the European option pricing model with new fractional operator
- Numerical solution of time-fractional Black-Scholes equation
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- A meshless local collocation method for time fractional diffusion wave equation
- Fractional Black-Scholes model with regularized Prabhakar derivative
- On the numerical solution of time fractional Black-Scholes equation
- Construction of interval Shannon wavelet and its application in solving nonlinear Black-Scholes equation
- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
- Lie symmetry, exact solutions and conservation laws of time fractional Black-Scholes equation derived by the fractional Brownian motion
- Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market
- Title not available (Why is that?)
- Calculations of fractional derivative option pricing models based on neural network
- Numerical solution of the Black-Scholes partial differential equation for the option pricing model using the ADM-Kamal method
- Design and analysis of a high order computational technique for time‐fractional Black–Scholes model describing option pricing
- Introducing and solving generalized Black-Scholes PDEs through the use of functional calculus
- A hybrid Chelyshkov wavelet-finite differences method for time-fractional Black-Scholes equation
- Numerical solutions for fractional differential equations for Lévy jump models in finance: an application to pricing of call and put options
- Localized kernel-based meshless method for pricing financial options underlying fractal transmission system
This page was built for publication: Solution of the fractional Black-Scholes option pricing model by finite difference method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2015204)
