Publication:5074741
From MaRDI portal
DOI10.30495/jme.v15i0.1991zbMath1490.91244MaRDI QIDQ5074741
Yones Esmaeelzade, H. Mesgarani, Masod Bakhshandeh
Publication date: 10 May 2022
collocation methodunconditional stabilitylinear interpolationconvergence orderChebyshev polynomials of fourth kindtemporal fractional Black-Scholes model
Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS, Unnamed Item, Modeling and approximated procedure life insurance bond by the stochastic mortality and short interest rate
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Fast and efficient numerical methods for an extended Black-Scholes model
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- Comparative study of three numerical schemes for fractional integro-differential equations
- Numerically pricing double barrier options in a time-fractional Black-Scholes model
- Numerical solution of two-dimensional fractional-order reaction advection sub-diffusion equation with finite-difference Fibonacci collocation method
- 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
- Solution of the fractional Black-Scholes option pricing model by finite difference method
- The impact of Chebyshev collocation method on solutions of fractional advection-diffusion equation
- Numerical investigation of the two-dimensional space-time fractional diffusion equation in porous media
- A chaos study of tumor and effector cells in fractional tumor-immune model for cancer treatment
- A reliable numerical algorithm for fractional advection-dispersion equation arising in contaminant transport through porous media
- Convergence analysis of the space fractional-order diffusion equation based on the compact finite difference scheme
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet
- Fractional Pearson diffusions
- Fractional model and solution for the Black‐Scholes equation
- A study of fractional Lotka‐Volterra population model using Haar wavelet and Adams‐Bashforth‐Moulton methods
- A new Rabotnov fractional‐exponential function‐based fractional derivative for diffusion equation under external force
- Derivatives pricing with marked point processes using tick-by-tick data
