COMPACT FINITE DIFFERENCE SCHEMES OF THE TIME FRACTIONAL BLACK-SCHOLES MODEL

DOI10.11948/20190148zbMath1461.91360OpenAlexW3023631506MaRDI QIDQ5858046

Zhifeng Weng, Shuying Zhai, Zhaowei Tian

Publication date: 9 April 2021

Published in: Journal of Applied Analysis & Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11948/20190148

zbMATH Keywords

compact difference schemeEuropean optionexponential transformationtime-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) Derivative securities (option pricing, hedging, etc.) (91G20) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

Related Items (2)

High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options ⋮ A compact quadratic spline collocation method for the time-fractional Black-Scholes model

Cites Work

• The Pricing of Options and Corporate Liabilities
• A new fractional numerical differentiation formula to approximate the Caputo fractional derivative and its applications
• A new difference scheme for the time fractional diffusion equation
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
• Numerically pricing American options under the generalized mixed fractional Brownian motion model
• Numerically pricing double barrier options in a time-fractional Black-Scholes model
• Numerical solution of time-fractional Black-Scholes equation
• A universal difference method for time-space fractional Black-Scholes equation
• Numerical approximation of a time-fractional Black-Scholes equation
• Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
• Numerical solution of the time fractional Black-Scholes model governing European options
• Solution of the fractional Black-Scholes option pricing model by finite difference method
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
• Derivatives pricing with marked point processes using tick-by-tick data
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