High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options

DOI10.1016/J.CHAOS.2022.112423zbMATH Open1506.91181OpenAlexW4286470391MaRDI QIDQ2677413FDOQ2677413

Authors: N. Abdi, Hossein Aminikhah, A. H. Refahi Sheikhani 

Publication date: 13 January 2023

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2022.112423

zbMATH Keywords

convergencestabilityCaputo fractional derivativeEuropean optionFourier methodhigh order compact difference schemestime-fractional Black-Scholes equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) 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)

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Cited In (13)

• High order method for Black-Scholes PDE
• A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
• Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing
• A wavelet collocation method for fractional Black-Scholes equations by subdiffusive model
• A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
• Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation
• A spatial sixth-order numerical scheme for solving fractional partial differential equation
• A New Compact Numerical Scheme for Solving Time Fractional Mobile-Immobile Advection-Dispersion Model
• An efficient and accurate adaptive time-stepping method for the Black-Scholes equations
• Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
• A spectral approach using fractional Jaiswal functions to solve the mixed time-fractional Black-Scholes European option pricing model with error analysis
• Numerical solution of distributed-order fractional Korteweg-de Vries equation via fractional zigzag rising diagonal functions

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