High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options
From MaRDI portal
Publication:2677413
Caputo fractional derivativeconvergenceEuropean optionFourier methodhigh order compact difference schemesstabilitytime-fractional Black-Scholes equation
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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites work
- A compact quadratic spline collocation method for the time-fractional Black-Scholes model
- A fractional-order hyper-chaotic economic system with transient chaos
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- A new fractional numerical differentiation formula to approximate the Caputo fractional derivative and its applications
- A quantitative approach to fractional option pricing problems with decomposition series
- A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics
- A robust numerical solution to a time-fractional Black-Scholes equation
- A space-time spectral method for time-fractional Black-Scholes equation
- Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
- Compact finite difference schemes of the time fractional Black-Scholes model
- Fast numerical simulation of a new time-space fractional option pricing model governing European call option
- Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
- Fractals and fractional calculus in continuum mechanics
- Fractional-order modeling of neutron transport in a nuclear reactor
- High-order compact difference schemes for the modified anomalous subdiffusion equation
- scientific article; zbMATH DE number 1303930 (Why is no real title available?)
- scientific article; zbMATH DE number 3794378 (Why is no real title available?)
- scientific article; zbMATH DE number 2217537 (Why is no real title available?)
- Novel approaches for getting the solution of the fractional Black-Scholes equation described by Mittag-Leffler fractional derivative
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- Numerical solution of the space fractional Fokker-Planck equation.
- Numerical solution of the time fractional Black-Scholes model governing European options
- Numerically pricing double barrier options in a time-fractional Black-Scholes model
- Spectrally accurate option pricing under the time-fractional Black-Scholes model
- The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- The pricing of options and corporate liabilities
Cited in
(21)- High order method for Black-Scholes PDE
- Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation
- A New Compact Numerical Scheme for Solving Time Fractional Mobile-Immobile Advection-Dispersion Model
- Numerical solution of distributed-order fractional Korteweg-de Vries equation via fractional zigzag rising diagonal functions
- A wavelet collocation method for fractional Black-Scholes equations by subdiffusive model
- A spatial sixth-order numerical scheme for solving fractional partial differential equation
- A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
- An efficient and accurate adaptive time-stepping method for the Black-Scholes equations
- A spectral approach using fractional Jaiswal functions to solve the mixed time-fractional Black-Scholes European option pricing model with error analysis
- Numerical pricing of European options under time-fractional Black-Scholes equation in financial markets
- Galerkin approach by certain shifted Jacobi polynomials for solving the time-fractional Black-Scholes equation
- A novel option pricing framework using Pell-Lucas collocation method under the stochastic local volatility model
- A compact finite difference scheme for solving fractional Black-Scholes option pricing model
- An accurate collocation method for distributed order time fractional nonlinear diffusion wave equation with error analysis
- An efficient computational method for solving the fractional form of the European option price PDE with transaction cost under the fractional Heston model
- An efficient wavelet method for the time-fractional Black-Scholes equations
- An efficient numerical scheme on nonuniform grids for a normalized time-fractional Black-Scholes equation
This page was built for publication: High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2677413)
