Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Fractional partial differential equations (35R11) Numerical analysis (65-XX) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

Cites Work

Long-Term Memory in Stock Market Prices
Meshfree approximation methods with Matlab. With CD-ROM.
Title not available (Why is that?)
Arbitrage with Fractional Brownian Motion
An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
Maximum principle for the generalized time-fractional diffusion equation
An analysis of the L1 scheme for the subdiffusion equation with nonsmooth data
FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
An algorithm for the numerical solution of differential equations of fractional order
Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
Gaussian RBF-FD weights and its corresponding local truncation errors
A note on Wick products and the fractional Black-Scholes model
Title not available (Why is that?)
NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
Convergence order estimates of meshless collocation methods using radial basis functions
Penalty methods for American options with stochastic volatility
The Numerical Solution of Weakly Singular Volterra Integral Equations by Collocation on Graded Meshes
Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
A Fast High Order Method for the Time-Fractional Diffusion Equation
Numerical solution of the time fractional Black-Scholes model governing European options
An insight into RBF-FD approximations augmented with polynomials
Error analysis of the L1 method on graded and uniform meshes for a fractional-derivative problem in two and three dimensions
A higher order numerical method for time fractional partial differential equations with nonsmooth data
Numerical approximation of a time-fractional Black-Scholes equation
Generalised class of time fractional black Scholes equation and numerical analysis
Fractional order stochastic differential equation with application in European option pricing
The time-discrete method of lines for options and bonds. A PDE approach
Illustrating finance policy with Mathematica
Tools for computational finance
A compact finite difference scheme for fractional Black-Scholes option pricing model
A sixth order numerical method and its convergence for generalized Black-Scholes PDE
A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
Optimal-order error estimates of finite element approximations to variable-order time-fractional diffusion equations without regularity assumptions of the true solutions
On the convergence of finite difference methods for PDE under temporal refinement
An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
Isogeometric analysis for time-fractional partial differential equations
Preconditioned global GPBiCG method for solving saddle point problems with multiple right-hand sides and its convergence analysis
On geometric inverse problems in time-fractional subdiffusion
Title not available (Why is that?)

Cited In (6)

Application of the B-Spline Galerkin approach for approximating the time-fractional Burger's equation
Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation
Multiquadric quasi-interpolation method for fractional integral-differential equations
Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps
A spectral approach using fractional Jaiswal functions to solve the mixed time-fractional Black-Scholes European option pricing model with error analysis
Radial polynomials as alternatives to flat radial basis functions

This page was built for publication: Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6157966)