A novel numerical scheme for a time fractional Black-Scholes equation
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Publication:2053261
DOI10.1007/s12190-020-01467-9zbMath1479.91446OpenAlexW3110217938MaRDI QIDQ2053261
Renxuan Tang, Mianfu She, Dongfang Li, Li-Li Li
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/s12190-020-01467-9
change of variableChebyshev-Galerkin spectral methodtime-fractional Black-Scholes modelmodified \(L1\) scheme
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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