A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model

DOI10.1016/j.chaos.2022.112571OpenAlexW4293490154WikidataQ113878235 ScholiaQ113878235MaRDI QIDQ2111299

Hossein Aminikhah, M. Taghipour

Publication date: 13 January 2023

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2022.112571

zbMATH Keywords

Sobolev spacespectral collocation methodCaputo fractional derivativetime-fractional Black-Scholes equationfractional Pell functions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Fractional partial differential equations (35R11)

Related Items (1)

Efficient numerical simulations based on an explicit group approach for the time fractional advection-diffusion reaction equation

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