A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics

DOI10.1016/j.chaos.2021.110753zbMath1498.91497OpenAlexW3130255129WikidataQ114199192 ScholiaQ114199192MaRDI QIDQ2131687

Samuel M. Nuugulu, Frednard Gideon, Kailash C. Patidar

Publication date: 26 April 2022

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

Full work available at URL: https://doi.org/10.1016/j.chaos.2021.110753

zbMATH Keywords

numerical methodoption pricingnon-random fractal dynamicstime-fractional Black-Scholes PDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)

Related Items (2)

High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options ⋮ A second order numerical method for the time-fractional Black-Scholes European option pricing model

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