A difference method with parallel nature for solving time-space fractional Black-Scholes model
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Publication:2162297
convergencemixed alternating segment Crank-Nicolson format (MASC-N)parallel calculationtime-space fractional Black-Scholes (B-S) modelunconditional stability
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) Parallel numerical computation (65Y05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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- 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
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Cited in
(5)- 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
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- A fast parallel difference method for solving the time-fractional generalized Fisher equation
- Numerical approach for solving two-dimensional time-fractional Fisher equation via HABC-N method
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