Approximate price of the option under discretization by applying fractional quadratic interpolation
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Cites work
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- A high-order spectral method for the multi-term time-fractional diffusion equations
- A new difference scheme for the time fractional diffusion equation
- A new fractional finite volume method for solving the fractional diffusion equation
- A new fractional numerical differentiation formula to approximate the Caputo fractional derivative and its applications
- Analytic study on linear systems of fractional differential equations
- Analytical approach for the space-time nonlinear partial differential fractional equation
- Analytical approach to linear fractional partial differential equations arising in fluid mechanics
- Comparative study of three numerical schemes for fractional integro-differential equations
- Error analysis of a finite difference method on graded meshes for a time-fractional diffusion equation
- Existence of solutions for a mixed fractional boundary value problem
- Fractional Pearson diffusions
- scientific article; zbMATH DE number 439383 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Modified finite difference method for solving fractional delay differential equations
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- Numerical method for discrete double barrier option pricing with time-dependent parameters
- Numerical methods for time-fractional evolution equations with nonsmooth data: a concise overview
- Numerical solution of the time fractional Black-Scholes model governing European options
- Numerical solution of time-fractional Black-Scholes equation
- Numerically pricing double barrier options in a time-fractional Black-Scholes model
- On analytical solutions of the fractional differential equation with uncertainty: application to the Basset problem
- On the optimal shape parameters of radial basis functions used for 2-D meshless methods
- Quadratic spline collocation method for the time fractional subdiffusion equation
- Sharp error estimate of the nonuniform L1 formula for linear reaction-subdiffusion equations
- The pricing of options and corporate liabilities
- Weighted finite difference methods for a class of space fractional partial differential equations with variable coefficients
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