High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options

DOI10.1016/j.chaos.2022.112423zbMath1506.91181OpenAlexW4286470391MaRDI QIDQ2677413

Hossein Aminikhah, N. Abdi, Amirhossein Refahi Sheikhani

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.2022.112423

zbMATH Keywords

stabilityconvergenceFourier methodCaputo fractional derivativeEuropean optionhigh order compact difference schemestime-fractional Black-Scholes equation

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation ⋮ A New Compact Numerical Scheme for Solving Time Fractional Mobile-Immobile Advection-Dispersion Model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A new fractional numerical differentiation formula to approximate the Caputo fractional derivative and its applications
• Fractals and fractional calculus in continuum mechanics
• Numerical solution of the space fractional Fokker-Planck equation.
• Numerically pricing double barrier options in a time-fractional Black-Scholes model
• Fractional-order modeling of neutron transport in a nuclear reactor
• 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
• A space-time spectral method for time-fractional Black-Scholes equation
• The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
• A compact quadratic spline collocation method for the time-fractional Black-Scholes model
• A fractional-order hyper-chaotic economic system with transient chaos
• A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics
• A robust numerical solution to a time-fractional Black-Scholes equation
• Novel approaches for getting the solution of the fractional Black-Scholes equation described by Mittag-Leffler fractional derivative
• Black-Scholes option pricing equations described by the Caputo generalized fractional derivative
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
• Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
• High-order compact difference schemes for the modified anomalous subdiffusion equation
• Finite difference methods of the spatial fractional Black–Schloes equation for a European call option
• Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
• SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL
• COMPACT FINITE DIFFERENCE SCHEMES OF THE TIME FRACTIONAL BLACK-SCHOLES MODEL