A novel numerical scheme for a time fractional Black-Scholes equation

DOI10.1007/S12190-020-01467-9zbMATH Open1479.91446OpenAlexW3110217938MaRDI QIDQ2053261FDOQ2053261

Authors: Mianfu She, Renxuan Tang, Dongfang Li, Lili Li 

Publication date: 29 November 2021

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-020-01467-9

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zbMATH Keywords

change of variableChebyshev-Galerkin spectral methodtime-fractional Black-Scholes modelmodified \(L1\) scheme

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) 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)

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Cited In (20)

• Application of two-dimensional Fibonacci wavelets in fractional partial differential equations arising in the financial market
• A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
• The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method
• Title not available (Why is that?)
• Numerical approximation of a time-fractional Black-Scholes equation
• A universal difference method for time-space fractional Black-Scholes equation
• Existence and uniqueness of analytical solution of time‐fractional Black‐Scholes type equation involving hyper‐Bessel operator
• A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation
• A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
• The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
• A transformed \(L1\) Legendre-Galerkin spectral method for time fractional Fokker-Planck equations
• Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
• A novel scheme to capture the initial dramatic evolutions of nonlinear subdiffusion equations
• A transformed \(L 1\) method for solving the multi-term time-fractional diffusion problem
• Pointwise-in-time error analysis of the corrected \(\mathrm{L}1\) scheme for a time-fractional sine-Gordon equation
• Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
• Numerical solution of time-fractional Black-Scholes equation
• Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
• Localized kernel-based meshless method for pricing financial options underlying fractal transmission system

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