Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
From MaRDI portal
Publication:5080093
DOI10.22124/jmm.2021.18924.1617zbMath1499.91174OpenAlexW3187231615MaRDI QIDQ5080093
S. Ahanj, H. Mesgarani, Aghdam Yones Esmaeelzade
Publication date: 31 May 2022
Full work available at URL: https://jmm.guilan.ac.ir/article_4776_6104d9525bbf3a0c8e862598b34e37b2.pdf
collocation methodlinear interpolationfractional Black-Scholes equationChebyshev polynomials of the third kind
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Fractional partial differential equations (35R11)
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