THE NUMERICAL STRATEGY OF TEMPERED FRACTIONAL DERIVATIVE IN EUROPEAN DOUBLE BARRIER OPTION

DOI10.1142/S0218348X22400497zbMath1484.91521OpenAlexW3199987268MaRDI QIDQ5062435

Hossein Jafari, Xiaoxiao Xia, Shuchun Wang, Chengxuan Xie, B. Farnam, Yones Esmaeelzade Aghdam

Publication date: 15 March 2022

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218348x22400497

zbMATH Keywords

stabilityconvergenceChebyshev polynomialsleft and right tempered fractional derivative

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) 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) Numerical computation of roots of polynomial equations (65H04)

Related Items (4)

On mild solutions of fractional impulsive differential systems of Sobolev type with fractional nonlocal conditions ⋮ Robust bivariate polynomials scheme with convergence analysis for two-dimensional nonlinear optimal control problem ⋮ MODIFIED ATANGANA-BALEANU FRACTIONAL DIFFERENTIAL OPERATORS ⋮ Modeling and approximated procedure life insurance bond by the stochastic mortality and short interest rate

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