Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation
DOI10.1016/j.rinam.2021.100149zbMath1470.91322OpenAlexW3134678009WikidataQ113287910 ScholiaQ113287910MaRDI QIDQ2043837
Publication date: 3 August 2021
Published in: Results in Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.rinam.2021.100149
operator splittingspectral collocation methodAmerican optionimproved L1 approximationtime-space fractional Black-Scholes
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical solutions to equations with nonlinear operators (65J15)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Exponentially accurate spectral and spectral element methods for fractional ODEs
- A multi-domain spectral method for time-fractional differential equations
- Spectral element method with geometric mesh for two-sided fractional differential equations
- Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1\)]
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
- Implicit finite difference approximation for time fractional diffusion equations
- Numerically pricing double barrier options in a time-fractional Black-Scholes model
- An approach to construct higher order time discretisation schemes for time fractional partial differential equations with nonsmooth data
- Numerical solution of time-fractional Black-Scholes equation
- A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation
- The accuracy and stability of an implicit solution method for the fractional diffusion equation
- A universal difference method for time-space fractional Black-Scholes equation
- Multi-domain spectral collocation method for variable-order nonlinear fractional differential equations
- Numerical approximation of a time-fractional Black-Scholes equation
- Numerical solution of the time fractional Black-Scholes model governing European options
- Fast numerical simulation of a new time-space fractional option pricing model governing European call option
- Solution of the fractional Black-Scholes option pricing model by finite difference method
- A new operator splitting method for American options under fractional Black-Scholes models
- A Petrov-Galerkin spectral element method for fractional elliptic problems
- Finite difference/spectral approximations for the time-fractional diffusion equation
- Generalized Jacobi functions and their applications to fractional differential equations
- Discontinuous Spectral Element Methods for Time- and Space-Fractional Advection Equations
- A Generalized Spectral Collocation Method with Tunable Accuracy for Fractional Differential Equations with End-Point Singularities
- Spectral Methods
- A Hybrid Spectral Element Method for Fractional Two-Point Boundary Value Problems
- Correction of High-Order BDF Convolution Quadrature for Fractional Evolution Equations
- A Space-Time Petrov-Galerkin Spectral Method for Time Fractional Diffusion Equation
- Application of Operator Splitting Methods in Finance
- Fractional Spectral Collocation Method
- The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
