Numerical approximation of a time-fractional Black–Scholes equation-Reference-Cited by-同舟云学术

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Numerical approximation of a time-fractional Black–Scholes equation

Published:2018-04 Issue:8 Volume:75 Page:2874-2887
ISSN:0898-1221
Container-title:Computers & Mathematics with Applications
language:en
Short-container-title:Computers & Mathematics with Applications

Author:

Cen Zhongdi,Huang Jian,Xu Aimin,Le Anbo

Funder

Philosophy and Social Science Research

Humanities and Social Sciences Planning Fund of Ministry of Education of China

Zhejiang Province Natural Science Foundation

Ningbo Municipal Natural Science Foundation

Ningbo Municipal Soft Science Foundation

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modeling and Simulation

Reference35 articles.

1. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

2. The fractional Black–Scholes equations;Wyss;Fract. Calc. Appl. Anal.,2000

3. Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black–Scholes equations;Jumarie;Insurance Math. Econom.,2008

4. Derivation and solutions of some fractional Black–Scholes equations in coarse-grained space and time. Application to Merton’s optimal portfolio;Jumarie;Comput. Math. Appl.,2010

5. Fractional diffusion models of option prices in markets with jumps;Cartea;Physica A,2007

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4. An Efficient IMEX Compact Scheme for the Coupled Time Fractional Integro-Differential Equations Arising from Option Pricing with Jumps;Computational Economics;2024-06-05

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