Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials
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Publication:6156280
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Cites work
- scientific article; zbMATH DE number 439383 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A compact quadratic spline collocation method for the time-fractional Black-Scholes model
- A high-order spectral method for the multi-term time-fractional diffusion equations
- A new fractional finite volume method for solving the fractional diffusion equation
- 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
- Existence of solutions for a mixed fractional boundary value problem
- Fractional Pearson diffusions
- 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 simulation to solve two-dimensional temporal-space fractional Bloch-Torrey equation taken of the spin magnetic moment diffusion
- 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
- The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
- The pricing of options and corporate liabilities
Cited in
(8)- Option pricing with Legendre polynomials
- Numerical and analytical solution to a conformable fractional Fornberg-Whitham equation
- Spectrally accurate option pricing under the time-fractional Black-Scholes model
- Numerical analysis of fractional order Black-Scholes option pricing model with band equation method
- Estimate of the fractional advection-diffusion equation with a time-fractional term based on the shifted Legendre polynomials
- Some properties of Legendre polynomials and an approximate solution of the Black-Scholes equation governing option pricing
- Approximate price of the option under discretization by applying fractional quadratic interpolation
- Pricing European two-asset option using the spectral method with second-kind Chebyshev polynomials
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