The solutions to a bi-fractional Black-Scholes-Merton differential equation

zbMATH Open1195.35164MaRDI QIDQ3568034FDOQ3568034

Authors: Jin-Rong Liang, Jun Wang, Wenjun Zhang 

Publication date: 17 June 2010

Recommendations

• Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
• Solution of the fractional Black-Scholes option pricing model by finite difference method
• On the solution of two-dimensional fractional Black-Scholes equation for European put option
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
• scientific article; zbMATH DE number 2015688

zbMATH Keywords

option pricingfractional Wiener processTaylor series of fractional orderformulas for European call option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Initial-boundary value problems for second-order parabolic equations (35K20) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60)

Cited In (29)

• Numerical methods for pricing American options with time-fractional PDE models
• Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
• Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market
• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
• Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation
• Title not available (Why is that?)
• Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing
• Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation
• Numerical approximation of a time-fractional Black-Scholes equation
• Existence and uniqueness of analytical solution of time‐fractional Black‐Scholes type equation involving hyper‐Bessel operator
• Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
• Calculations of fractional derivative option pricing models based on neural network
• A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation
• COMPACT FINITE DIFFERENCE SCHEMES OF THE TIME FRACTIONAL BLACK-SCHOLES MODEL
• Burgers and Black–Merton–Scholes equations with real time variable and complex spatial variable
• A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
• Generalised class of time fractional black Scholes equation and numerical analysis
• Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
• Numerical solution using radial basis functions for multidimensional fractional partial differential equations of type Black-Scholes
• A compact quadratic spline collocation method for the time-fractional Black-Scholes model
• Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
• A space-time fractional derivative model for European option pricing with transaction costs in fractal market
• Title not available (Why is that?)
• Fast numerical simulation of a new time-space fractional option pricing model governing European call option
• Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
• A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation
• Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
• On the numerical solution of time fractional Black-Scholes equation

This page was built for publication: The solutions to a bi-fractional Black-Scholes-Merton differential equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3568034)