A novel numerical scheme for a time fractional Black-Scholes equation
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Publication:2053261
change of variableChebyshev-Galerkin spectral methodmodified \(L1\) schemetime-fractional Black-Scholes model
Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cited in
(25)- Numerical solution of time-fractional Black-Scholes equation
- A universal difference method for time-space fractional Black-Scholes equation
- Numerical approximation of a time-fractional Black-Scholes equation
- The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
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- A transformed \(L 1\) method for solving the multi-term time-fractional diffusion problem
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- scientific article; zbMATH DE number 7523973 (Why is no real title available?)
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
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- A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation
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