A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing

DOI10.1016/j.matcom.2019.10.016OpenAlexW2988207590WikidataQ113293525 ScholiaQ113293525MaRDI QIDQ1997989

Wen Chen, Songgui Wang

Publication date: 6 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2019.10.016

zbMATH Keywords

option pricingfinite differencealternating direction implicit methodtwo-dimensional spatial-fractional Black-Scholes equation

Mathematics Subject Classification ID

Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Miscellaneous topics in partial differential equations (35Rxx)

Related Items

PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS, Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option, PRICING AMERICAN OPTION USING A MODIFIED FRACTIONAL BLACK–SCHOLES MODEL UNDER MULTI-STATE REGIME SWITCHING, A second-order ADI method for pricing options under fractional regime-switching models, An operator splitting method for multi-asset options with the Feynman-Kac formula, Unnamed Item, SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL, Optimal non-uniform finite difference grids for the Black-Scholes equations, A space-time spectral method for time-fractional Black-Scholes equation, Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation, Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing

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