An Efficient Numerical Scheme to Approach the Time Fractional Black–Scholes Model Using Orthogonal Gegenbauer Polynomials
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s10614-023-10444-w.pdf
Reference43 articles.
1. Aghdam, Y. E., Mesgarani, H., Adl, A., & Farnam, B. (2021). The convergence investigation of a numerical scheme for the tempered fractional Black–Scholes model arising European double barrier option. Computational Economics, 61, 513–528.
2. Alabedalhadi, M. (2022). Exact travelling wave solutions for nonlinear system of spatiotemporal fractional quantum mechanics equations. Alexandria Engineering Journal, 61(2), 1033.
3. Bouchouev, I., Isakov, V., & Valdivia, N. (2002). Recovery of volatility coefficient by linearization. Quantitative finance, 2(4), 257.
4. Caputo, M. (1967). Linear models of dissipation whose Q is almost frequency independent-II. Geophysical Journal International, 13(5), 529.
5. Cartea, A., & del Castillo-Negrete, D. (2007). Fractional diffusion models of option prices in markets with jumps. Physica A: Statistical Mechanics and its Applications, 374(2), 749.
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