[PDF][PDF] A meshless method for numerical solutions of linear and nonlinear time-fractional Black-Scholes models
The numerical solution of the time-fractional Black-Scholes model for European and
American options is presented using a local meshless collocation approach based on hybrid …
American options is presented using a local meshless collocation approach based on hybrid …
[HTML][HTML] Analysing time-fractional exotic options via efficient local meshless method
In this article, we analyse the numerical simulation of the time-fractional Black-Scholes
model governing butterfly spread option, digital option and double barrier option. For this …
model governing butterfly spread option, digital option and double barrier option. For this …
Numerical analysis of time fractional Black–Scholes European option pricing model arising in financial market
The price variation of the correlated fractal transmission system is used to deduce the
fractional Black–Scholes model that has an α α-order time fractional derivative. The …
fractional Black–Scholes model that has an α α-order time fractional derivative. The …
A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
P Roul - Applied Numerical Mathematics, 2020 - Elsevier
This paper is concerned with the design of a high order numerical approach based on a
uniform mesh for efficient numerical solution of time-fractional Black-Scholes equation …
uniform mesh for efficient numerical solution of time-fractional Black-Scholes equation …
Review of the Fractional Black-Scholes Equations and Their Solution Techniques
H Zhang, M Zhang, F Liu, M Shen - Fractal and Fractional, 2024 - mdpi.com
The pioneering work in finance by Black, Scholes and Merton during the 1970s led to the
emergence of the Black-Scholes (BS) equation, which offers a concise and transparent …
emergence of the Black-Scholes (BS) equation, which offers a concise and transparent …
A compact finite difference scheme for fractional Black-Scholes option pricing model
In this paper, we present a numerical technique for solving the time-fractional Black-Scholes
(TFBS) equation describing European options. The time-fractional derivative is described by …
(TFBS) equation describing European options. The time-fractional derivative is described by …
Error and stability estimates of a time-fractional option pricing model under fully spatial–temporal graded meshes
To price vanilla European and American options via the fractional Black–Scholes model, first
a (2− α)-order discretization scheme for the Caputo fractional derivative based upon graded …
a (2− α)-order discretization scheme for the Caputo fractional derivative based upon graded …
[HTML][HTML] Numerically pricing double barrier options in a time-fractional Black–Scholes model
The numerical solution of the time fractional Black–Scholes model (TFBSM) of order 0< α< 1
governing European options is studied. Zhang et al.(2016) derived a numerical scheme of …
governing European options is studied. Zhang et al.(2016) derived a numerical scheme of …
A quantitative approach to fractional option pricing problems with decomposition series
This study addresses a novel identification of Adomian Decomposition Method (ADM) to
have an accurate and quick solution for the European option pricing problem by using Black …
have an accurate and quick solution for the European option pricing problem by using Black …
Computational approach based on wavelets for financial mathematical model governed by distributed order fractional differential equation
In this study, for the first time, the approximate solution of Black–Scholes option pricing
distributed order time-fractional partial differential equation by means of Legendre and …
distributed order time-fractional partial differential equation by means of Legendre and …