SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL

DOI10.1017/S1446181121000286zbMath1484.91520MaRDI QIDQ5158755

Nawdha Thakoor, Désiré Yannick Tangman, Geraldine Tour

Publication date: 26 October 2021

Published in: The ANZIAM Journal (Search for Journal in Brave)

zbMATH Keywords

option pricing; time-fractional Black-Scholes equation; spectral element discretization

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65N35: Spectral, collocation and related methods for boundary value problems involving PDEs

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

65B05: Extrapolation to the limit, deferred corrections

91G20: Derivative securities (option pricing, hedging, etc.)

65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences