A compact finite difference scheme for fractional Black-Scholes option pricing model
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Publication:2029151
DOI10.1016/J.APNUM.2021.03.017zbMATH Open1467.91215OpenAlexW3151491349MaRDI QIDQ2029151FDOQ2029151
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Cited in
(30)- A high-order numerical scheme based on graded mesh and its analysis for the two-dimensional time-fractional convection-diffusion equation
- A spatial sixth-order numerical scheme for solving fractional partial differential equation
- Solution of the fractional Black-Scholes option pricing model by finite difference method
- A kind of efficient difference method for time-fractional option pricing model
- 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 high-order unconditionally stable numerical method for a class of multi-term time-fractional diffusion equation arising in the solute transport models
- Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes
- Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation
- Computational algorithm for financial mathematical model based on European option
- A robust adaptive moving mesh technique for a time-fractional reaction-diffusion model
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- Numerical analysis of fractional order Black-Scholes option pricing model with band equation method
- A fourth-order compact ADI scheme for solving a two-dimensional time-fractional reaction-subdiffusion equation
- A New Compact Numerical Scheme for Solving Time Fractional Mobile-Immobile Advection-Dispersion Model
- Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
- Black-Scholes equation with distributed order in time
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model
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- A novel high-order numerical scheme and its analysis for the two-dimensional time-fractional reaction-subdiffusion equation
- Compact finite difference schemes of the time fractional Black-Scholes model
- Modeling of financial processes with a space-time fractional diffusion equation of varying order
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- Numerical solution of fractional Black-Scholes model of American put option pricing via a nonstandard finite difference method: stability and convergent analysis
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- Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
- A robust higher-order numerical technique with graded and harmonic meshes for the time-fractional diffusion-advection-reaction equation
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