A second order numerical method for the time-fractional Black-Scholes European option pricing model
type: Item
instance of: scholarly article
title: A second order numerical method for the time-fractional Black-Scholes European option pricing model
zbMATH Open document ID: 1502.91058
author: Kamran Kazmi
published in: Journal of Computational and Applied Mathematics
publication date: 2022-10-06T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65N06
Mathematics Subject Classification ID: 65D25
Mathematics Subject Classification ID: 65D30
Mathematics Subject Classification ID: 65B05
Mathematics Subject Classification ID: 35R09
Mathematics Subject Classification ID: 35R11
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 45K05
Mathematics Subject Classification ID: 65R20
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7596850
zbMATH Keywords: time-fractional Black-Scholes equation
zbMATH Keywords: European option pricing model
zbMATH Keywords: Caputo fractional derivative
zbMATH Keywords: Richardson extrapolation
zbMATH Keywords: finite-difference method
zbMATH Keywords: non-smooth initial conditions
MaRDI profile type: Publication
full work available at URL: j.cam.2022.114647
OpenAlex ID: W4289525644
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A second order numerical method for the time-fractional Black-Scholes European option pricing model (cites work)
cites work: Finite difference methods with non-uniform meshes for nonlinear fractional differential equations

A second order numerical method for the time-fractional Black-Scholes European option pricing model (DOI)
DOI: 10.1016/J.CAM.2022.114647