A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
DOI10.1007/S11075-023-01545-6OpenAlexW4378420827MaRDI QIDQ6141522FDOQ6141522
Jaspreet Kaur, Srinivasan Natesan
Publication date: 19 December 2023
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-023-01545-6
convergenceEuropean optionsstabilitycubic spline methodtime-fractional Black-Scholes PDE\( L 1\)-scheme
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)
Cites Work
- The pricing of options and corporate liabilities
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
- Arbitrage with Fractional Brownian Motion
- Title not available (Why is that?)
- Title not available (Why is that?)
- The analysis of fractional differential equations. An application-oriented exposition using differential operators of Caputo type
- Fractional differentiation matrices with applications
- Title not available (Why is that?)
- Numerical modeling of fractional-order biological systems
- Error Analysis of a Finite Difference Method on Graded Meshes for a Time-Fractional Diffusion Equation
- An ill-posed problem for the Black-Scholes equation for a profitable forecast of prices of stock options on real market data
- Fractional stochastic differential equations with applications to finance
- Numerically pricing double barrier options in a time-fractional Black-Scholes model
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
- Numerical solution of the time fractional Black-Scholes model governing European options
- A universal difference method for time-space fractional Black-Scholes equation
- Solution of the fractional Black-Scholes option pricing model by finite difference method
- Cubic spline method for a generalized Black-Scholes equation
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- A compact quadratic spline collocation method for the time-fractional Black-Scholes model
- Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
- Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation
- Construction of indicator system of regional economic system impact factors based on fractional differential equations
- Forecasting stock options prices via the solution of an ill-posed problem for the Black–Scholes equation
Cited In (12)
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- Bifurcation detections of a fractional-order neural network involving three delays
- Title not available (Why is that?)
- 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
- Title not available (Why is that?)
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
- A high-order numerical scheme and its analysis for Caputo temporal-fractional Black-Scholes model: European double barrier knock-out option
This page was built for publication: A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6141522)
