A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model (Q6625119)

scientific article; zbMATH DE number 7932648

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English	A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model	scientific article; zbMATH DE number 7932648

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title

A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model (English)

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International Journal of Computer Mathematics

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publication date

28 October 2024

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MaRDI profile type

Publication

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cites work

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Derivatives pricing with marked point processes using tick-by-tick data

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Pointwise-in-time a posteriori error control for higher-order discretizations of time-fractional parabolic equations

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Convergence in positive time for a finite difference method applied to a fractional convection-diffusion problem

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Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations

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Fast Finite Difference Schemes for Time-Fractional Diffusion Equations with a Weak Singularity at Initial Time

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A high‐order and fast scheme with variable time steps for the 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 Survey of the L1 Scheme in the Discretisation of Time-Fractional Problems

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COMPACT FINITE DIFFERENCE SCHEMES OF THE TIME FRACTIONAL BLACK-SCHOLES MODEL

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A universal difference method for time-space fractional Black-Scholes equation

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

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Identifiers

DOI

10.1080/00207160.2023.2254412

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:6625119