An Efficient Numerical Method Based on Exponential B-splines for a Time-Fractional Black–Scholes Equation Governing European Options
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/s10614-023-10500-5.pdf
Reference49 articles.
1. Akram, T., Abbas, M., Abualnaja, K. M., Iqbal, A., & Majeed, A. (2022). An efficient numerical technique based on the extended cubic B-spline functions for solving time fractional Black–Scholes model. Engineering with Computers, 38(2), 1705–1716.
2. Amster, P., Averbuj, C., & Mariani, M. (2002). Solutions to a stationary nonlinear Black–Scholes type equation. Journal of Mathematical Analysis and Applications, 276(1), 231–238.
3. Amster, P., Averbuj, C., & Mariani, M. (2003). Stationary solutions for two nonlinear Black–Scholes type equations. Applied Numerical Mathematics, 47(3–4), 275–280.
4. An, X., Liu, F., Zheng, M., Anh, V. V., & Turner, I. W. (2021). A space-time spectral method for time-fractional Black–Scholes equation. Applied Numerical Mathematics, 165, 152–166.
5. Black, F., Scuholes, M. The pricing of options and corporate liabilities. In: World Scientific Reference on Contingent Claims Analysis in Corporate Finance: Volume 1: Foundations of CCA and Equity Valuation, pp. 3–21. World Scientific (2019)
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