On the numerical solution of time fractional Black-Scholes equation
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Cites work
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- scientific article; zbMATH DE number 2015688 (Why is no real title available?)
- scientific article; zbMATH DE number 2208486 (Why is no real title available?)
- Implicit finite difference approximation for time fractional diffusion equations
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Cited in
(16)- A universal difference method for time-space fractional Black-Scholes equation
- A novel numerical scheme for a time fractional Black-Scholes equation
- The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- Existence and uniqueness of analytical solution of time‐fractional Black‐Scholes type equation involving hyper‐Bessel operator
- scientific article; zbMATH DE number 7523973 (Why is no real title available?)
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- Solving the general form of the fractional Black-Scholes with two assets through reconstruction variational iteration method
- A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
- A spectral approach using fractional Jaiswal functions to solve the mixed time-fractional Black-Scholes European option pricing model with error analysis
- Regularization methods for identifying initial value of a time-fractional Black–Scholes equation
- Numerical pricing of European options under time-fractional Black-Scholes equation in financial markets
- Galerkin approach by certain shifted Jacobi polynomials for solving the time-fractional Black-Scholes equation
- An adaptive mesh based computational approach to the option price and their greeks in time fractional Black-Scholes framework
- An effective adaptive time stepping method for a normalized time-fractional Black-Scholes equation
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
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