A difference method with parallel nature for solving time-space fractional Black-Scholes model

DOI10.1016/J.CHAOS.2021.111280MaRDI QIDQ2162297zbMATH OpenOpenAlexFDO

Authors Ruifang Yan, Ying He, Qian Zuo

Publication date 5 August 2022

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2021.111280

zbMATH Keywords

convergenceunconditional stabilityparallel calculationmixed alternating segment Crank-Nicolson format (MASC-N)time-space fractional Black-Scholes (B-S) model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05) 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)

Recommendations

• A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation
• A universal difference method for time-space fractional Black-Scholes equation
• Numerical solution of time-fractional Black-Scholes equation
• Solution of the fractional Black-Scholes option pricing model by finite difference method
• A kind of efficient difference method for time-fractional option pricing model

Cites work

• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 2015688 (Why is no real title available?)
• A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation
• A compact finite difference scheme for the fractional sub-diffusion equations
• A direct \(O(N \log ^{2} N)\) finite difference method for fractional diffusion equations
• A parallel Crank-Nicolson finite difference method for time-fractional parabolic equation
• A parallel algorithm for the Riesz fractional reaction-diffusion equation with explicit finite difference method
• A universal difference method for time-space fractional Black-Scholes equation
• An Explicit Finite Difference Method and a New von Neumann-Type Stability Analysis for Fractional Diffusion Equations
• An efficient parallel algorithm for Caputo fractional reaction-diffusion equation with implicit finite-difference method
• An efficient parallel algorithm for the numerical solution of fractional differential equations
• Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
• Exact solutions and numerical study of time fractional Burgers' equations
• Finite difference approximations for fractional advection-dispersion flow equations
• Finite difference/spectral approximations for the time-fractional diffusion equation
• Fractional derivatives for physicists and engineers. Volume I: Background and theory. Volume II: Applications
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Group explicit methods for parabolic equations
• Implicit difference approximation for the time fractional diffusion equation
• Implicit finite difference approximation for time fractional diffusion equations
• Linearized Galerkin FEMs for nonlinear time fractional parabolic problems with non-smooth solutions in time direction
• Mathematical models of financial derivatives
• Stability and convergence of the difference methods for the space-time fractional advection-diffusion equation
• Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
• Subdiffusion with a time-dependent coefficient: Analysis and numerical solution

Cited in

(3)

• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
• A universal difference method for time-space fractional Black-Scholes equation
• A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation

This page was built for publication: A difference method with parallel nature for solving time-space fractional Black-Scholes model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2162297)