Fast numerical simulation of a new time-space fractional option pricing model governing European call option

DOI10.1016/j.amc.2018.06.030zbMath1429.91346OpenAlexW2886385014MaRDI QIDQ2007514

Yanyan Li

Publication date: 22 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://eprints.qut.edu.au/121063/1/P20_ZLTJ_Y18.pdf

zbMATH Keywords

Caputo fractional derivativeEuropean call optionmodified Riemann-Liouville fractional derivativefast numerical simulationtime-space fractional option pricing model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

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Cites Work

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