An adaptive moving mesh method for a time-fractional Black-Scholes equation

DOI10.1186/s13662-019-2453-1zbMath1487.65118OpenAlexW2995887867WikidataQ126529040 ScholiaQ126529040MaRDI QIDQ2142034

Zhongdi Cen, Jialiang Zhao, Jian Huang

Publication date: 25 May 2022

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-019-2453-1

zbMATH Keywords

finite difference methodBlack-Scholes equationfractional-order derivativeoption valuationadaptive moving mesh

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

Related Items (5)

Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option ⋮ Unnamed Item ⋮ SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL ⋮ On the solution of two-dimensional fractional Black-Scholes equation for European put option ⋮ Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation

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