The fractional Black-Scholes equation.
From MaRDI portal
(Redirected from The fractional Black-Scholes equation.)
The Black-Scholes equation for the option of a European call involves the first derivative in time. Replacing this derivative by a fractional derivative of order \(\alpha\), \(0<\alpha<1\), leads to the fractional Black--Scholes equation. The author gives the complete solution to this equation with the help of Mellin, Laplace transformations and Green functions. He also finds the corresponding \(\Delta(\alpha)\), the Delta of call option, \(\Delta(\alpha)=\partial C(S,t)/\partial S\). Any information about \(\Delta(\alpha)\) gives some information on the order \(\alpha\).
Recommendations
- Fractional model and solution for the Black-Scholes equation
- A fractional Black-Scholes model with jumps
- The Black-Scholes model.
- Solving fractional Black-Scholes equation by using Boubaker functions
- scientific article; zbMATH DE number 6133391
- A fractional version of the Merton model.
- Fractional Black-Scholes model with regularized Prabhakar derivative
- Numerical solution of time-fractional Black-Scholes equation
- Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
- Numerical approximation of a time-fractional Black-Scholes equation
Cited in
(only showing first 100 items - show all)- An approach via fractional analysis to non-linearity induced by coarse-graining in space
- Operational methods, fractional operators and special polynomials.
- Numerical solution of the space fractional Fokker-Planck equation.
- Time fractional advection-dispersion equation
- Two temporal second-order \(H^1\)-Galerkin mixed finite element schemes for distributed-order fractional sub-diffusion equations
- Stability and convergence analysis of a class of continuous piecewise polynomial approximations for time-fractional differential equations
- A block-centered finite difference method for the distributed-order time-fractional diffusion-wave equation
- Numerically pricing double barrier options in a time-fractional Black-Scholes model
- On a time-fractional integrodifferential equation via three-point boundary value conditions
- Restricted fractional differential transform for solving irrational order fractional differential equations
- A space-time fractional derivative model for European option pricing with transaction costs in fractal market
- A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation
- On a semi-linear system of nonlocal time and space reaction diffusion equations with exponential nonlinearities
- Numerical methods for pricing American options with time-fractional PDE models
- A universal difference method for time-space fractional Black-Scholes equation
- Numerical approximation of a time-fractional Black-Scholes equation
- An explicit closed-form analytical solution for European options under the CGMY model
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
- Numerical solution of the time fractional Black-Scholes model governing European options
- Fast numerical simulation of a new time-space fractional option pricing model governing European call option
- An efficient split-step method for distributed-order space-fractional reaction-diffusion equations with time-dependent boundary conditions
- Solution of the fractional Black-Scholes option pricing model by finite difference method
- On high-order schemes for tempered fractional partial differential equations
- The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
- Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation
- A compact quadratic spline collocation method for the time-fractional Black-Scholes model
- A novel numerical scheme for a time fractional Black-Scholes equation
- Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
- A second order numerical method for the time-fractional Black-Scholes European option pricing model
- Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
- Efficient numerical techniques for computing the Riesz fractional-order reaction-diffusion models arising in biology
- An accurate solution for the generalized Black-Scholes equations governing option pricing
- Touchard wavelet technique for solving time-fractional Black-Scholes model
- An adaptive moving mesh method for a time-fractional Black-Scholes equation
- Two regularization methods for identifying the source term problem on the time-fractional diffusion equation with a hyper-Bessel operator
- Application of two-dimensional Fibonacci wavelets in fractional partial differential equations arising in the financial market
- Investigation of the fractional coupled viscous Burgers' equation involving Mittag-Leffler kernel
- A difference method with parallel nature for solving time-space fractional Black-Scholes model
- Efficient high-order compact exponential time differencing method for space-fractional reaction-diffusion systems with nonhomogeneous boundary conditions
- Structure-preserving algorithms for the two-dimensional fractional Klein-Gordon-Schrödinger equation
- Design and analysis of a numerical method for fractional neutron diffusion equation with delayed neutrons
- A weighted finite difference method for subdiffusive Black-Scholes model
- A new operator splitting method for American options under fractional Black-Scholes models
- Finite difference/finite element method for a novel 2D multi-term time-fractional mixed sub-diffusion and diffusion-wave equation on convex domains
- Examples of analytical solutions by means of Mittag-Leffler function of fractional Black-Scholes option pricing equation
- Numerical method to initial-boundary value problems for fractional partial differential equations with time-space variable coefficients
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- Stability and convergence based on the finite difference method for the nonlinear fractional cable equation on non-uniform staggered grids
- 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
- Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models
- Almost sure and moment stability properties of fractional order Black-Scholes model
- Analysis of the equilibrium positions of nonlinear dynamical systems in the presence of coarse-graining disturbance in space
- Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution
- Fractional Green function for linear time-fractional inhomogeneous partial differential equations in fluid mechanics
- Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
- Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
- On a reaction diffusion equation with nonlinear time-nonlocal source term
- Stability and convergence of a new finite volume method for a two-sided space-fractional diffusion equation
- Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
- The solutions to a bi-fractional Black-Scholes-Merton differential equation
- Numerical solutions for the three-point boundary value problem of nonlinear fractional differential equations
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- Fractional Black-Scholes model with regularized Prabhakar derivative
- A block-centred finite difference method for the distributed-order differential equation with Neumann boundary condition
- scientific article; zbMATH DE number 7523973 (Why is no real title available?)
- Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- scientific article; zbMATH DE number 7569367 (Why is no real title available?)
- On the numerical solution of time fractional Black-Scholes equation
- Spectrally accurate option pricing under the time-fractional Black-Scholes model
- On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options
- Compact finite difference schemes of the time fractional Black-Scholes model
- From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series
- Fast numerical scheme for the time-fractional option pricing model with asset-price-dependent variable order
- Computational algorithm for financial mathematical model based on European option
- A hybrid radial basis functions collocation technique to numerically solve fractional advection–diffusion models
- A non-stationary iterative Tikhonov regularization method for simultaneous inversion in a time-fractional diffusion equation
- An efficient adaptive wavelet method for pricing time-fractional American option variational inequality
- A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
- A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation
- Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option
- A fast and high-order IMEX method for non-linear time-space-fractional reaction-diffusion equations
- Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes
- Localized kernel-based meshless method for pricing financial options underlying fractal transmission system
- Lie symmetry, exact solutions and conservation laws of time fractional Black-Scholes equation derived by the fractional Brownian motion
- Numerical analysis of fractional order Black-Scholes option pricing model with band equation method
- A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
- On invariant analysis and conservation law for fractional differential equations with mixed fractional derivative: time-fractional Fokas-Lenells equation
- The calibration of volatility for european option under fractional stochastic interest rate model
- Regularization methods for identifying initial value of a time-fractional Black–Scholes equation
- Generalizing subdiffusive Black-Scholes model by variable exponent: model transformation and numerical approximation
- Stable approximation of unbounded matrix operators for the simultaneous inversion of source terms and initial values in time-fractional Black-Scholes equation
- Simultaneous identification of fractional order and time-dependent source term of a time-fractional Black-Scholes equation
- Group analysis of equations with the Gerasimov-Caputo derivative using the example of the Guéant-Pu equation
- Numerical pricing of European options under time-fractional Black-Scholes equation in financial markets
- Modeling anomalous diffusion with Riesz fractional derivatives: applications to pattern formation
- Solving multi-dimensional fractional Black-Scholes model using deep learning
- Predictor-corrector scheme for multi-dimensional time-space fractional reaction-diffusion models
This page was built for publication: The fractional Black-Scholes equation.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4438488)
