Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
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Publication:2326366
DOI10.1007/S40314-019-0957-7zbMATH Open1463.91199OpenAlexW2978166210MaRDI QIDQ2326366FDOQ2326366
A. 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
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convergencestabilityradial basis functionscollocation methodsEuropean optiontime fractional Black-Scholes model
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
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Cited In (45)
- A tau method based on Jacobi operational matrix for solving fractional telegraph equation with Riesz-space derivative
- A NOVEL PERSPECTIVE FOR THE FRACTAL SCHRÖDINGER EQUATION
- Convergence analysis of the space fractional-order diffusion equation based on the compact finite difference scheme
- Application of two-dimensional Fibonacci wavelets in fractional partial differential equations arising in the financial market
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market
- Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option
- A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model
- Numerical treatment of the space fractional advection-dispersion model arising in groundwater hydrology
- Modeling and approximated procedure life insurance bond by the stochastic mortality and short interest rate
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- Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing
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- A fully discrete scheme based on cubic splines and its analysis for time-fractional reaction-diffusion equations exhibiting weak initial singularity
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