A weighted finite difference method for subdiffusive Black-Scholes model

DOI10.1016/j.camwa.2020.04.029zbMath1447.65024arXiv1907.00297OpenAlexW2956035471MaRDI QIDQ2194785

Łukasz Płociniczak, Grzegorz Krzyżanowski, Marcin Magdziarz

Publication date: 7 September 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.00297

zbMATH Keywords

Caputo fractional derivativeEuropean optionsubdiffusionweighted finite difference methodtime fractional Black-Scholes model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) 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 (4)

A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model ⋮ Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation ⋮ Option pricing under the subordinated market models ⋮ A second order numerical method for the time-fractional Black-Scholes European option pricing model

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