scientific article; zbMATH DE number 7569367

DOI10.12941/JKSIAM.2022.26.121zbMATH Open1492.91422MaRDI QIDQ5095447FDOQ5095447

Authors: Razieh Delpasand, Mohammad-Mehdi Hosseini 

Publication date: 8 August 2022

Title of this publication is not available (Why is that?)

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zbMATH Keywords

radial basis functionsconvergencyfractional Black-Scholes equationtwo-asset option pricing

Mathematics Subject Classification ID

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)

Cites Work

• The pricing of options and corporate liabilities
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• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
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• Advances in Fractional Calculus
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• Spectral convergence of multiquadric interpolation
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• Miscellaneous error bounds for multiquadric and related interpolators
• 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 functions method for valuing options: a multinomial tree approach
• 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
• Radial basis function partition of unity methods for pricing vanilla basket options
• Numerical solution of the time fractional Black-Scholes model governing European options
• Numerical approximation of a time-fractional Black-Scholes equation
• Solution of the fractional Black-Scholes option pricing model by finite difference method
• A new method for evaluating options based on multiquadric RBF-FD method
• Fast numerical simulation of a new time-space fractional option pricing model governing European call option
• Numerical solution of time-fractional Black-Scholes equation
• Linear functionals on \(\mathcal{O}_n\) associated to unit vectors
• A space-time spectral method for time-fractional Black-Scholes equation
• Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
• A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
• Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models
• A compact finite difference scheme for fractional Black-Scholes option pricing model
• Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
• Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
• An efficient hybrid numerical method for the two-asset Black-Scholes PDE

Cited In (12)

• A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model
• A new method for option pricing via time-fractional PDE
• A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
• Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models
• Touchard wavelet technique for solving time-fractional Black-Scholes model
• 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 kind of efficient difference method for time-fractional option pricing model
• A fractional reduced differential transform method for solving time fractional Black Scholes American option pricing equation
• 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
• An efficient hybrid numerical method for the two-asset Black-Scholes PDE

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