The Use of Partial Fractional Form of A-Stable Padé Schemes for the Solution of Fractional Diffusion Equation with Application in Option Pricing-Reference-Cited by-同舟云学术

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The Use of Partial Fractional Form of A-Stable Padé Schemes for the Solution of Fractional Diffusion Equation with Application in Option Pricing

Published:2019-11-02 Issue:4 Volume:56 Page:695-709
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Ghafouri H.,Ranjbar M.,Khani A.

Funder

Azarbaijan Shahid Madani University

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s10614-019-09927-6.pdf

Reference35 articles.

1. Brenner, P., Crouzeix, M., & Thomée, V. (1982). Single-step methods for inhomogeneous linear differential equations in Banach space. RAIRO. Analyse Numérique, 16(1), 5–26.

2. Caputo, M. (1967). Linear models of dissipation whose Q is almost frequency independent-II. Geophysical Journal International, 13(5), 529–539.

3. Carr, P., Geman, H., Madan, D. B., & Yor, M. (2002). The fine structure of asset returns: An empirical investigation. Journal of Business, 75(2), 305–332.

4. Carr, P., & Wu, L. (2003). The finite moment log stable process and option pricing. The Journal of Finance, 58(2), 753–777.

5. Cartea, Á., & del-Castillo-Negrete, D. (2006). Fractional diffusion models of option prices in markets with jumps. Physica A: Statistical Mechanics and Its Applications, 374(2), 749–763.

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1. Numerical Approximation to a Variable-Order Time-Fractional Black–Scholes Model with Applications in Option Pricing;Computational Economics;2022-09-23

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