A compact quadratic spline collocation method for the time-fractional Black-Scholes model

DOI10.1007/s12190-020-01439-zOpenAlexW3089776119MaRDI QIDQ2053222

Zhaowei Tian, Shuying Zhai, Haifeng Ji, Zhifeng Weng

Publication date: 29 November 2021

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

Full work available at URL: https://doi.org/10.1007/s12190-020-01439-z

zbMATH Keywords

European optionexponential transformationquadratic spline collocation methodtime-fractional Black-Scholes equation

Mathematics Subject Classification ID

Functions of one variable (26Axx) Numerical analysis (65-XX) Ordinary differential equations (34-XX) General topics in partial differential equations (35Axx) General theory for ordinary differential equations (34Axx)

Related Items

High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options, A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance, Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials, Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation, Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation, A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model

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