A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance

Author:

Kaur Jaspreet,Natesan Srinivasan

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics

Reference34 articles.

1. Ahmad, J., Shakeel, M., Hassan, Q.M.U., Mohyud-Din, S.: Analytical solution of Black-Scholes model using fractional variational iteration method. Int. J. Mod. Math. Sci. 5, 133–142 (2013)

2. Akram, T., Abbas, M., Ismail, A.I., Sabri, S.R.M., Noor, N.M.: Numerical solution of the time fractional Black-Scholes equation using b-spline technique. In: AIP Conference Proceedings, AIP Publishing LLC, vol. 2423, p. 020002. (2021)

3. Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81, 637–654 (1973)

4. Blanco-Cocom, L., Estrella, A.G., Avila-Vales, E.: Solution of the Black-Scholes equation via the Adomian decomposition method. Int. J. Appl. Math. Res. 2(4), 486 (2013)

5. Chen, W., Xu, X., Zhu, S.-P.: Analytically pricing double barrier options based on a time-fractional Black-Scholes equation. Comput. Math. Appl. 69, 1407–1419 (2015)

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