Fast numerical scheme for the time-fractional option pricing model with asset-price-dependent variable order (Q6064931)

scientific article; zbMATH DE number 7763876

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English	Fast numerical scheme for the time-fractional option pricing model with asset-price-dependent variable order	scientific article; zbMATH DE number 7763876

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instance of

scholarly article

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title

Fast numerical scheme for the time-fractional option pricing model with asset-price-dependent variable order (English)

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Applied Numerical Mathematics

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publication date

10 November 2023

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zbMATH Keywords

variable-order fractional operator

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Black-Scholes

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finite element scheme

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divide and conquer

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.apnum.2023.06.014

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cites work

Q5318420

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Space-dependent variable-order time-fractional wave equation: Existence and uniqueness of its weak solution

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On the existence and uniqueness of solutions to a nonlinear variable order time-fractional reaction-diffusion equation with delay

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An efficient and accurate numerical method for the spectral fractional Laplacian equation

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Analytically pricing double barrier options based on a time-fractional Black-Scholes equation

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Numerically pricing double barrier options in a time-fractional Black-Scholes model

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A fast method for variable-order Caputo fractional derivative with applications to time-fractional diffusion equations

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A divide-and-conquer fast finite difference method for space-time fractional partial differential equation

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Variable-order fractional calculus: a change of perspective

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Fast Evaluation of the Caputo Fractional Derivative and its Applications to Fractional Diffusion Equations

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Subdiffusion with a time-dependent coefficient: Analysis and numerical solution

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Numerical solution of time-fractional Black-Scholes equation

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A posteriori error analysis for variable-coefficient multiterm time-fractional subdiffusion equations

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Modeling of financial processes with a space-time fractional diffusion equation of varying order

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The local discontinuous Galerkin finite element methods for Caputo-type partial differential equations: mathematical analysis

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Variable order and distributed order fractional operators

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Fast high-order compact difference scheme for the nonlinear distributed-order fractional Sobolev model appearing in porous media

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All-at-once method for variable-order time fractional diffusion equations

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A review on variable-order fractional differential equations: mathematical foundations, physical models, numerical methods and applications

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Numerical investigation of ordinary and partial differential equations with variable fractional order by Bernstein operational matrix

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Galerkin finite element methods for parabolic problems

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Q3258501

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Q4438488

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An Analysis of the Modified L1 Scheme for Time-Fractional Partial Differential Equations with Nonsmooth Data

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A Generalized Spectral Collocation Method with Tunable Accuracy for Variable-Order Fractional Differential Equations

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Numerical solution of the time fractional Black-Scholes model governing European options

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Exponential-sum-approximation technique for variable-order time-fractional diffusion equations

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Robust fast method for variable-order time-fractional diffusion equations without regularity assumptions of the true solutions

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Fast Second-Order Evaluation for Variable-Order Caputo Fractional Derivative with Applications to Fractional Sub-Diffusion Equations

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Adaptive finite element method for fractional differential equations using hierarchical matrices

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A time-fractional diffusion equation with space-time dependent hidden-memory variable order: analysis and approximation

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Numerical Methods for the Variable-Order Fractional Advection-Diffusion Equation with a Nonlinear Source Term

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Identifiers

zbMATH Open document ID

1528.91081

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DOI

10.1016/j.apnum.2023.06.014

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6064931