A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
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\( L 1\)-schemeconvergencecubic spline methodEuropean optionsstabilitytime-fractional Black-Scholes PDE
Numerical analysis (65-XX) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) 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)
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Cites work
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- Arbitrage with Fractional Brownian Motion
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Cited in
(24)- Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing
- A novel numerical scheme for a time fractional Black-Scholes equation
- On the solution of two-dimensional fractional Black-Scholes equation for European put option
- A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
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- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- Bifurcation detections of a fractional-order neural network involving three delays
- Numerical analysis of fractional order Black-Scholes option pricing model with band equation method
- A robust numerical simulation of a fractional Black-Scholes equation for pricing American options
- A spectral approach using fractional Jaiswal functions to solve the mixed time-fractional Black-Scholes European option pricing model with error analysis
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- Stable and efficient learning of degenerate stochastic differential equation in neural networks
- Fractional approach to solve water infiltration problem in an unsaturated porous medium by combined natural transform and variational iteration method
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