Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
DOI10.1007/s11075-022-01314-xOpenAlexW4281904866MaRDI QIDQ2098796
Publication date: 22 November 2022
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-022-01314-x
Toeplitz matrixlow rank approximation2D time-space fractional Black-Scholes equationall-at-once preconditionersEuropean two-asset option pricing
Numerical methods (including Monte Carlo methods) (91G60) Computational methods for sparse matrices (65F50) Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) Parallel numerical computation (65Y05) Finite difference methods for boundary value problems involving PDEs (65N06) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Toeplitz, Cauchy, and related matrices (15B05) Preconditioners for iterative methods (65F08) Fractional partial differential equations (35R11) Numerical methods for ill-posed problems for boundary value problems involving PDEs (65N20) Numerical methods for low-rank matrix approximation; matrix compression (65F55)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
- Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
- A space-time fractional derivative model for European option pricing with transaction costs in fractal market
- Finite difference approximations for fractional advection-dispersion flow equations
- A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
- A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
- 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
- An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
- On the solution of two-dimensional fractional Black-Scholes equation for European put option
- Fast matrix splitting preconditioners for higher dimensional spatial fractional diffusion equations
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- A Proposal for Toeplitz Matrix Calculations
- Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
- Preconditioning and Iterative Solution of All-at-Once Systems for Evolutionary Partial Differential Equations
- Stochastic Volatility for Lévy Processes
- An All-at-Once Preconditioner for Evolutionary Partial Differential Equations
- A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation
- Diagonal and Toeplitz splitting iteration methods for diagonal-plus-Toeplitz linear systems from spatial fractional diffusion equations
- An Introduction to Iterative Toeplitz Solvers
This page was built for publication: Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
