Generalised class of time fractional black Scholes equation and numerical analysis

DOI10.3934/DCDSS.2019028MaRDI QIDQ2319595zbMATH OpenOpenAlexWikidataFDO

Authors Rodrigue Gnitchogna Batogna, Abdon Atangana

Publication date 20 August 2019

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/dcdss.2019028

zbMATH Keywords

Caputo-Fabrizio fractional derivativefractional option pricingtime fractional Black-Scholes model

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
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• Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market

Cites work

• A fractional Heston model with \(H>1/2\)
• A penalty method for a fractional order parabolic variational inequality governing American put option valuation
• Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
• scientific article; zbMATH DE number 1742902 (Why is no real title available?)
• scientific article; zbMATH DE number 2015688 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Numerical solution of the time fractional Black-Scholes model governing European options
• The pricing of options and corporate liabilities
• The solutions to a bi-fractional Black-Scholes-Merton differential equation

Cited in

(16)

• Multiscale estimation of processes related to the fractional Black-Scholes equation
• Numerically pricing double barrier options in a time-fractional Black-Scholes model
• A universal difference method for time-space fractional Black-Scholes equation
• Black-Scholes equation with distributed order in time
• A novel numerical scheme for a time fractional Black-Scholes equation
• On comparative analysis for the Black-Scholes model in the generalized fractional derivatives sense via Jafari transform
• Optimal algebra and power series solution of fractional Black-Scholes pricing model
• Two step Adams Bashforth method for time fractional Tricomi equation with non-local and non-singular kernel
• Fractional modified Kawahara equation with Mittag-Leffler law
• Extremal solutions of -Caputo fractional evolution equations involving integral kernels
• An analysis of a mathematical fractional model of hybrid viscous nanofluids and its application in heat and mass transfer
• An efficient numerical method for fractional model of allelopathic stimulatory phytoplankton species with Mittag-Leffler law
• Existence and uniqueness of analytical solution of time‐fractional Black‐Scholes type equation involving hyper‐Bessel operator
• scientific article; zbMATH DE number 7523973 (Why is no real title available?)
• Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio

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