scientific article
From MaRDI portal
Publication:3568034
zbMath1195.35164MaRDI QIDQ3568034
Jin-Rong Liang, Jun Wang, Wen-Jun Zhang
Publication date: 17 June 2010
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
option pricingfractional Wiener processTaylor series of fractional orderformulas for European call option
Initial-boundary value problems for second-order parabolic equations (35K20) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)
Related Items (23)
Laplace transform methods for a free boundary problem of time-fractional partial differential equation system ⋮ A space-time fractional derivative model for European option pricing with transaction costs in fractal market ⋮ On the numerical solution of time fractional Black-Scholes equation ⋮ Calculations of fractional derivative option pricing models based on neural network ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market ⋮ A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation ⋮ A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation ⋮ Unnamed Item ⋮ Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option ⋮ Numerical approximation of a time-fractional Black-Scholes equation ⋮ Analytically pricing double barrier options based on a time-fractional Black-Scholes equation ⋮ Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing ⋮ Fast numerical simulation of a new time-space fractional option pricing model governing European call option ⋮ Unnamed Item ⋮ Numerical methods for pricing American options with time-fractional PDE models ⋮ Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation ⋮ 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 ⋮ Generalised class of time fractional black Scholes equation and numerical analysis ⋮ Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market ⋮ COMPACT FINITE DIFFERENCE SCHEMES OF 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
This page was built for publication:
