Finite difference methods of the spatial fractional Black–Schloes equation for a European call option

DOI10.1093/imamat/hxx016zbMath1418.91607OpenAlexW2739302278MaRDI QIDQ4557276

Hui Zhao, Hong-Jiong Tian

Publication date: 29 November 2018

Published in: IMA Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamat/hxx016

zbMATH Keywords

stabilityconvergencefinite difference methodEuropean call optionfractional 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) Fractional partial differential equations (35R11)

Related Items (9)

Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients ⋮ High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options ⋮ Design and analysis of a high order computational technique for time‐fractional Black–Scholes model describing option pricing ⋮ A space-time spectral method for time-fractional Black-Scholes equation ⋮ A compact finite difference scheme for fractional Black-Scholes option pricing model ⋮ A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options ⋮ A compact quadratic spline collocation method for the time-fractional Black-Scholes model ⋮ A second order numerical method for the time-fractional Black-Scholes European option pricing model ⋮ Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing

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