scientific article; zbMATH DE number 7569367
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Publication:5095447
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Fractional partial differential equations (35R11) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical radial basis function approximation (65D12)
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Cites work
- 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 2217537 (Why is no real title available?)
- A compact finite difference scheme for fractional Black-Scholes option pricing model
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- A new method for evaluating options based on multiquadric RBF-FD method
- A space-time spectral method for time-fractional Black-Scholes equation
- Advances in Fractional Calculus
- An efficient hybrid numerical method for the two-asset Black-Scholes PDE
- Fast numerical simulation of a new time-space fractional option pricing model governing European call option
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
- Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
- Linear functionals on \(\mathcal{O}_n\) associated to unit vectors
- Miscellaneous error bounds for multiquadric and related interpolators
- Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
- Numerical approximation of a time-fractional Black-Scholes equation
- Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
- Numerical solution of the time fractional Black-Scholes model governing European options
- Numerical solution of time-fractional Black-Scholes equation
- Pricing European and American options by radial basis point interpolation
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Radial basis function partition of unity methods for pricing vanilla basket options
- Radial basis functions method for valuing options: a multinomial tree approach
- Scattered Data Approximation
- Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models
- Solution of the fractional Black-Scholes option pricing model by finite difference method
- Spectral convergence of multiquadric interpolation
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- The pricing of options and corporate liabilities
Cited in
(12)- Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models
- A kind of efficient difference method for time-fractional option pricing model
- Touchard wavelet technique for solving time-fractional Black-Scholes model
- An efficient hybrid numerical method for the two-asset Black-Scholes PDE
- A hybrid Chelyshkov wavelet-finite differences method for time-fractional Black-Scholes equation
- Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
- A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model
- A fractional reduced differential transform method for solving time fractional Black Scholes American option pricing equation
- A new method for option pricing via time-fractional PDE
- On the solution of two-dimensional fractional Black-Scholes equation for European put option
- Analytical solution of time fractional Black-Scholes equation with two assets through new Sumudu Transform iterative method
- A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
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