Approximation of time fractional Black-Scholes equation via radial kernels and transformations

DOI10.7153/FDC-2019-09-06zbMath1438.65255OpenAlexW2958714744WikidataQ115157789 ScholiaQ115157789MaRDI QIDQ5229310

Marjan Uddin, Muhammad Taufiq

Publication date: 14 August 2019

Published in: Fractional Differential Calculus (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7153/fdc-2019-09-06

zbMATH Keywords

quadrature ruleBlack-Scholes modelcontour integrationPDEslocal kernel based method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Numerical quadrature and cubature formulas (65D32) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

Related Items (4)

Solving Black-Scholes equations using fractional generalized homotopy analysis method ⋮ Generalized Lucas tau method for the numerical treatment of the one and two-dimensional partial differential heat equation ⋮ A weighted finite difference method for subdiffusive Black-Scholes model ⋮ The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method

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