A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
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Publication:2301410
stabilityconvergence analysisCaputo derivativequintic B-splineRiemann-Liouville derivativeEuropean call optionEuropean put optiontime-fractional Black-Scholes model
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Soliton solutions (35C08) Fractional partial differential equations (35R11) 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) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)
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Cited in
(58)- A fourth-order non-uniform mesh optimal B-spline collocation method for solving a strongly nonlinear singular boundary value problem describing electrohydrodynamic flow of a fluid
- Numerical solution of the time fractional Black-Scholes model governing European options
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- A numerical technique based on B‐spline for a class of time‐fractional diffusion equation
- A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model
- A computational technique for solving the time‐fractional Fokker‐Planck equation
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