Approximation of time fractional Black-Scholes equation via radial kernels and transformations

DOI10.7153/FDC-2019-09-06zbMATH Open1438.65255OpenAlexW2958714744WikidataQ115157789 ScholiaQ115157789MaRDI QIDQ5229310FDOQ5229310

Authors: Marjan Uddin, Muhammad Taufiq 

Publication date: 14 August 2019

Published in: Fractional Differential Calculus (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7153/fdc-2019-09-06

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zbMATH Keywords

Black-Scholes modelcontour integrationquadrature rulePDEslocal kernel based method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical quadrature and cubature formulas (65D32) Fractional derivatives and integrals (26A33) Fractional partial differential equations (35R11) Laplace transform (44A10) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

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Cited In (8)

• Solving Black-Scholes equations using fractional generalized homotopy analysis method
• Space-time kernel based numerical method for generalized Black-Scholes equation
• The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method
• Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models
• Numerical approximation of a time-fractional Black-Scholes equation
• A weighted finite difference method for subdiffusive Black-Scholes model
• Generalized Lucas tau method for the numerical treatment of the one and two-dimensional partial differential heat equation
• On comparative analysis for the Black-Scholes model in the generalized fractional derivatives sense via Jafari transform

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