A difference method with parallel nature for solving time-space fractional Black-Scholes model
DOI10.1016/j.chaos.2021.111280zbMath1498.91501OpenAlexW3190263470MaRDI QIDQ2162297
Ying He, Qian Zuo, Ruifang Yan
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
convergenceunconditional stabilityparallel calculationmixed alternating segment Crank-Nicolson format (MASC-N)time-space fractional Black-Scholes (B-S) model
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) Parallel numerical computation (65Y05)
Cites Work
- Unnamed Item
- Unnamed Item
- A parallel Crank-Nicolson finite difference method for time-fractional parabolic equation
- A compact finite difference scheme for the fractional sub-diffusion equations
- Fractional derivatives for physicists and engineers. Volume I: Background and theory. Volume II: Applications
- Implicit difference approximation for the time fractional diffusion equation
- Mathematical models of financial derivatives
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
- Stability and convergence of the difference methods for the space-time fractional advection-diffusion equation
- Implicit finite difference approximation for time fractional diffusion equations
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
- An efficient parallel algorithm for Caputo fractional reaction-diffusion equation with implicit finite-difference method
- 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
- Finite difference approximations for fractional advection-dispersion flow equations
- A direct \(O(N \log ^{2} N)\) finite difference method for fractional diffusion equations
- Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
- Linearized Galerkin FEMs for nonlinear time fractional parabolic problems with non-smooth solutions in time direction
- Exact solutions and numerical study of time fractional Burgers' equations
- A parallel algorithm for the Riesz fractional reaction-diffusion equation with explicit finite difference method
- Finite difference/spectral approximations for the time-fractional diffusion equation
- An efficient parallel algorithm for the numerical solution of fractional differential equations
- Group explicit methods for parabolic equations
- An Explicit Finite Difference Method and a New von Neumann-Type Stability Analysis for Fractional Diffusion Equations
- Subdiffusion with a time-dependent coefficient: Analysis and numerical solution
This page was built for publication: A difference method with parallel nature for solving time-space fractional Black-Scholes model
