Approximation of time fractional Black-Scholes equation via radial kernels and transformations
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)
- Numerical approximation of a time-fractional Black-Scholes equation
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- Space-time kernel based numerical method for generalized Black-Scholes equation
- A compact finite difference scheme for fractional Black-Scholes option pricing model
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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- RBFs approximation method for time fractional partial differential equations
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- Numerical approximation of a time-fractional Black-Scholes equation
- Selection of shape parameter in radial basis functions for solution of time-fractional Black-Scholes models
- 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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