A compact finite difference scheme for fractional Black-Scholes option pricing model

DOI10.1016/J.APNUM.2021.03.017zbMATH Open1467.91215OpenAlexW3151491349MaRDI QIDQ2029151FDOQ2029151

Authors: Pradip Roul, V. M. K. Prasad Goura 

Publication date: 3 June 2021

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2021.03.017

Recommendations

• Compact finite difference schemes of the time fractional Black-Scholes model
• Solution of the fractional Black-Scholes option pricing model by finite difference method
• Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing
• Numerical solution of the time fractional Black-Scholes model governing European options
• Finite difference methods of the spatial fractional Black–Schloes equation for a European call option

zbMATH Keywords

convergence analysisstability analysisBlack-Scholes equationCaputo's derivativecompact finite difference method

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Finite difference/spectral approximations for the time-fractional diffusion equation
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the appearance of the fractional derivative in the behavior of real materials
• Numerical computation of nonlinear fractional Zakharov-Kuznetsov equation arising in ion-acoustic waves
• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
• A note on Wick products and the fractional Black-Scholes model
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
• Homotopy perturbation method for fractional Black-Scholes European option pricing equations using Sumudu transform
• A predictor-corrector approach for pricing American options under the finite moment log-stable model
• Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
• Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
• 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
• Numerical approximation of a time-fractional Black-Scholes equation
• Solution of the fractional Black-Scholes option pricing model by finite difference method
• Title not available (Why is that?)
• A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
• Non-uniform L1/discontinuous Galerkin approximation for the time-fractional convection equation with weak regular solution
• Mathematical analysis and the local discontinuous Galerkin method for Caputo-Hadamard fractional partial differential equation
• The local discontinuous Galerkin finite element methods for Caputo-type partial differential equations: mathematical analysis
• Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
• A sixth order numerical method and its convergence for generalized Black-Scholes PDE
• Design and analysis of a numerical method for fractional neutron diffusion equation with delayed neutrons
• Design and stability analysis of an implicit non-standard finite difference scheme for fractional neutron point kinetic equation
• A high order numerical method and its convergence for time-fractional fourth order partial differential equations
• Numerical solutions of time fractional degenerate parabolic equations by variational iteration method with Jumarie-modified Riemann-Liouville derivative

Cited In (20)

• A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model
• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
• Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes
• Numerical analysis of fractional order Black-Scholes option pricing model with band equation method
• Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing
• A novel high-order numerical scheme and its analysis for the two-dimensional time-fractional reaction-subdiffusion equation
• Title not available (Why is that?)
• A robust higher-order numerical technique with graded and harmonic meshes for the time-fractional diffusion-advection-reaction equation
• Solution of the fractional Black-Scholes option pricing model by finite difference method
• A fourth-order compact ADI scheme for solving a two-dimensional time-fractional reaction-subdiffusion equation
• Touchard wavelet technique for solving time-fractional Black-Scholes model
• A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation
• A spatial sixth-order numerical scheme for solving fractional partial differential equation
• A high-order unconditionally stable numerical method for a class of multi-term time-fractional diffusion equation arising in the solute transport models
• Computational algorithm for financial mathematical model based on European option
• A New Compact Numerical Scheme for Solving Time Fractional Mobile-Immobile Advection-Dispersion Model
• Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
• A robust adaptive moving mesh technique for a time-fractional reaction-diffusion model
• A high-order numerical scheme and its analysis for Caputo temporal-fractional Black-Scholes model: European double barrier knock-out option
• A high-order numerical scheme based on graded mesh and its analysis for the two-dimensional time-fractional convection-diffusion equation

This page was built for publication: A compact finite difference scheme for fractional Black-Scholes option pricing model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2029151)