Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option

DOI10.22124/jmm.2021.18924.1617zbMath1499.91174OpenAlexW3187231615MaRDI QIDQ5080093

S. Ahanj, H. Mesgarani, Aghdam Yones Esmaeelzade

Publication date: 31 May 2022

Full work available at URL: https://jmm.guilan.ac.ir/article_4776_6104d9525bbf3a0c8e862598b34e37b2.pdf

zbMATH Keywords

collocation methodlinear interpolationfractional Black-Scholes equationChebyshev polynomials of the third kind

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Fractional partial differential equations (35R11)

Related Items (7)

A novel local meshless scheme based on the radial basis function for pricing multi-asset options ⋮ PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS ⋮ High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options ⋮ Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials ⋮ Unnamed Item ⋮ Solitary wave propagation of the generalized Kuramoto-Sivashinsky equation in fragmented porous media ⋮ A spectral collocation method based on fractional Pell functions for solving time-fractional Black-Scholes option pricing model

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