The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes

DOI10.1007/s40096-020-00357-2zbMath1473.91032OpenAlexW3102620729MaRDI QIDQ2041179

Yanyan Li

Publication date: 15 July 2021

Published in: Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40096-020-00357-2

zbMATH Keywords

stabilitycollocation methodChebyshev polynomials of the second kindlinear interpolationconvergence order and ratetime-fractional Black-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Fractional partial differential equations (35R11)

Related Items (14)

THE NUMERICAL STRATEGY OF TEMPERED FRACTIONAL DERIVATIVE IN EUROPEAN DOUBLE BARRIER OPTION ⋮ A novel local meshless scheme based on the radial basis function for pricing multi-asset options ⋮ PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS ⋮ On mild solutions of fractional impulsive differential systems of Sobolev type with fractional nonlocal conditions ⋮ Robust bivariate polynomials scheme with convergence analysis for two-dimensional nonlinear optimal control problem ⋮ High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options ⋮ MODIFIED ATANGANA-BALEANU FRACTIONAL DIFFERENTIAL OPERATORS ⋮ A CONVERGENCE ANALYSIS OF THE MOBILE–IMMOBILE ADVECTION–DISPERSION MODEL OF TEMPORAL FRACTIONAL ORDER ARISING IN WATERSHED CATCHMENTS AND RIVERS ⋮ Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials ⋮ A new wavelet method for solving a class of nonlinear partial integro-differential equations with weakly singular kernels ⋮ Reproducing kernel method to solve non-local fractional boundary value problem ⋮ Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option ⋮ A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model ⋮ Modeling and approximated procedure life insurance bond by the stochastic mortality and short interest rate

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