Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market

DOI10.1007/s40314-019-0957-7zbMath1463.91199OpenAlexW2978166210MaRDI QIDQ2326366

Ahmad Golbabai, Touraj Nikazad, Omid Nikan

Publication date: 7 October 2019

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-019-0957-7

zbMATH Keywords

stabilityconvergenceradial basis functionscollocation methodsEuropean optiontime fractional Black-Scholes model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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Uses Software

• Matlab

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