A second order numerical method for the time-fractional Black-Scholes European option pricing model
DOI10.1016/J.CAM.2022.114647zbMath1502.91058OpenAlexW4289525644MaRDI QIDQ2088801
Publication date: 6 October 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114647
finite-difference methodRichardson extrapolationCaputo fractional derivativeEuropean option pricing modelnon-smooth initial conditionstime-fractional Black-Scholes equation
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Extrapolation to the limit, deferred corrections (65B05) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06) Numerical differentiation (65D25) Numerical integration (65D30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Integro-partial differential equations (35R09)
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