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

zbMATH Open1195.35164MaRDI QIDQ3568034FDOQ3568034

Jin-Rong Liang, Jun Wang, Wenjun Zhang

Publication date: 17 June 2010

option pricing fractional Wiener process Taylor series of fractional order formulas for European call option

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 (28)

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
On the numerical solution of time fractional Black-Scholes equation

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