A space-time spectral method for time-fractional Black-Scholes equation

DOI10.1016/j.apnum.2021.02.009zbMath1466.91320OpenAlexW3129922278MaRDI QIDQ2029115

Xingyu An, Fawang Liu, V. V. Anh, Min-Ling Zheng, Ian W. Turner

Publication date: 3 June 2021

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2021.02.009

zbMATH Keywords

stability and convergencespace-time spectral methodtime-fractional Black-Scholes model

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

L1 method on nonuniform meshes for linear time-fractional diffusion equations with constant time delay ⋮ High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options ⋮ Computational algorithm for financial mathematical model based on European option ⋮ Unnamed Item ⋮ Time-space spectral Galerkin method for time-fractional fourth-order partial differential equations

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