Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing

DOI10.1007/S11075-022-01314-XMaRDI QIDQ2098796zbMATH OpenOpenAlexFDO

Authors Min Zhang, Guo-Feng Zhang

Publication date 22 November 2022

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11075-022-01314-x

zbMATH Keywords

2D time-space fractional Black-Scholes equationall-at-once preconditionersEuropean two-asset option pricinglow rank approximationToeplitz matrix

Mathematics Subject Classification ID

Toeplitz, Cauchy, and related matrices (15B05) Fractional derivatives and integrals (26A33) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Preconditioners for iterative methods (65F08) Iterative numerical methods for linear systems (65F10) Computational methods for sparse matrices (65F50) Numerical methods for low-rank matrix approximation; matrix compression (65F55) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Finite difference methods for boundary value problems involving PDEs (65N06) Numerical methods for ill-posed problems for boundary value problems involving PDEs (65N20) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22) Parallel numerical computation (65Y05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
• A 2nd-order FDM for a 2D fractional Black-Scholes equation
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• A Proposal for Toeplitz Matrix Calculations
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• An All-at-Once Preconditioner for Evolutionary Partial Differential Equations
• An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
• An Introduction to Iterative Toeplitz Solvers
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• Fast numerical simulation of a new time-space fractional option pricing model governing European call option
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• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• scientific article; zbMATH DE number 1742902 (Why is no real title available?)
• scientific article; zbMATH DE number 2015688 (Why is no real title available?)
• Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
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• Stochastic Volatility for Lévy Processes
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Cited in

(12)

• A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation
• A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
• A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
• Fast numerical simulation of a new time-space fractional option pricing model governing European call option
• On the solution of two-dimensional fractional Black-Scholes equation for European put option
• A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
• scientific article; zbMATH DE number 7569367 (Why is no real title available?)
• Pricing European two-asset option using the spectral method with second-kind Chebyshev polynomials
• scientific article; zbMATH DE number 7266412 (Why is no real title available?)
• A 2nd-order FDM for a 2D fractional Black-Scholes equation
• Analytical solution of time fractional Black-Scholes equation with two assets through new Sumudu Transform iterative method
• A new approach of generalized touchard polynomials to solve fractional Fokker-Planck equations with variable coefficients

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