Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
From MaRDI portal
Recommendations
- Numerical solution of the time fractional Black-Scholes model governing European options
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- Numerically pricing double barrier options in a time-fractional Black-Scholes model
- Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- On the numerical solution of time fractional Black-Scholes equation
- A novel numerical scheme for a time fractional Black-Scholes equation
- A second order numerical method for the time-fractional Black-Scholes European option pricing model
Cites work
- A Crank-Nicolson ADI spectral method for a two-dimensional Riesz space fractional nonlinear reaction-diffusion equation
- A Legendre spectral quadrature tau method for the multi-term time-fractional diffusion equations
- A meshless method based on point interpolation method (PIM) for the space fractional diffusion equation
- A new fractional finite volume method for solving the fractional diffusion equation
- A note on Wick products and the fractional Black-Scholes model
- A novel high order space-time spectral method for the time fractional Fokker-Planck equation
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
- Comparative study of three numerical schemes for fractional integro-differential equations
- Derivatives pricing with marked point processes using tick-by-tick data
- Fast and efficient numerical methods for an extended Black-Scholes model
- Finite volume and finite element methods for solving a one-dimensional space-fractional Boussinesq equation
- Fractional model and solution for the Black-Scholes equation
- Fractional Pearson diffusions
- scientific article; zbMATH DE number 2015688 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 7441400 (Why is no real title available?)
- New Solution and Analytical Techniques of the Implicit Numerical Method for the Anomalous Subdiffusion Equation
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- Numerical methods for the variable-order fractional advection-diffusion equation with a nonlinear source term
- Numerical solution of mixed-type fractional functional differential equations using modified Lucas polynomials
- Numerical solution of the time fractional Black-Scholes model governing European options
- Numerically pricing double barrier options in a time-fractional Black-Scholes model
- On the formulation and numerical simulation of distributed-order fractional optimal control problems
- Solution of the fractional Black-Scholes option pricing model by finite difference method
- Stochastic models for fractional calculus
- The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
- The pricing of options and corporate liabilities
- The solutions to a bi-fractional Black-Scholes-Merton differential equation
- Time fractional cable equation and applications in neurophysiology
Cited in
(36)- Numerically pricing double barrier options in a time-fractional Black-Scholes model
- Black-Scholes equation with distributed order in time
- Numerical approximation of a time-fractional Black-Scholes equation
- 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
- Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
- The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
- A second order numerical method for the time-fractional Black-Scholes European option pricing model
- Solitary wave propagation of the generalized Kuramoto-Sivashinsky equation in fragmented porous media
- A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model
- A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics
- Touchard wavelet technique for solving time-fractional Black-Scholes model
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model
- 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
- 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
- High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options
- Fractional Black-Scholes model with regularized Prabhakar derivative
- On the numerical solution of time fractional Black-Scholes equation
- Pricing European two-asset option using the spectral method with second-kind Chebyshev polynomials
- 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
- Approximation of time fractional Black-Scholes equation via radial kernels and transformations
- A novel local meshless scheme based on the radial basis function for pricing multi-asset options
- Approximate price of the option under discretization by applying fractional quadratic interpolation
- Computational algorithm for financial mathematical model based on European option
- A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
- Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option
- Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials
- Design and analysis of a high order computational technique for time‐fractional Black–Scholes model describing option pricing
- A wavelet collocation method for fractional Black-Scholes equations by subdiffusive model
- Galerkin approach by certain shifted Jacobi polynomials for solving the time-fractional Black-Scholes equation
- A compact finite difference scheme for solving fractional Black-Scholes option pricing model
- An efficient wavelet method for the time-fractional Black-Scholes equations
- Numerical pricing of American options under a nonlinear Black-Scholes framework with mixed fractional Brownian motion
This page was built for publication: Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5080093)
