On the numerical solution of time fractional Black-Scholes equation

DOI10.1080/00207160.2021.2011248OpenAlexW3215725018WikidataQ113280330 ScholiaQ113280330MaRDI QIDQ5097808FDOQ5097808

Authors: M. Sarboland, A. Aminataei 

Publication date: 1 September 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2021.2011248

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zbMATH Keywords

radial basis functionmeshless methodBlack-Scholes equationtime fractional partial differential equationmultiquadric quasi-interpolation scheme

Mathematics Subject Classification ID

Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Miscellaneous topics in partial differential equations (35Rxx)

Cites Work

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Cited In (11)

• Solving the general form of the fractional Black-Scholes with two assets through reconstruction variational iteration method
• A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
• The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method
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• A universal difference method for time-space fractional Black-Scholes equation
• Existence and uniqueness of analytical solution of time‐fractional Black‐Scholes type equation involving hyper‐Bessel operator
• A novel numerical scheme for a time fractional Black-Scholes equation
• A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
• Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
• A spectral approach using fractional Jaiswal functions to solve the mixed time-fractional Black-Scholes European option pricing model with error analysis
• 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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