A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model-Reference-Cited by-同舟云学术

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A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model

Published:2023-09-06 Issue: Volume: Page:1-23
ISSN:0020-7160
Container-title:International Journal of Computer Mathematics
language:en
Short-container-title:International Journal of Computer Mathematics

Author:

Zhou Jinfeng¹²,Gu Xian-Ming¹,Zhao Yong-Liang³,Li Hu⁴

Affiliation:

1. School of Mathematics, Southwestern University of Finance and Economics, Chengdu, Sichuan, People's Republic of China

2. College of Big Data and Statistics, Sichuan Tourism University, Chengdu, Sichuan, People's Republic of China

3. School of Mathematical Sciences, Sichuan Normal University, Chengdu, Sichuan, People's Republic of China

4. School of Mathematics, Chengdu Normal University, Chengdu, Sichuan, People's Republic of China

Funder

Applied Basic Research Program of Sichuan Province

Sichuan Science and Technology Program

Publisher

Informa UK Limited

Subject

Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207160.2023.2254412

Reference54 articles.

1. High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options

2. An efficient numerical technique based on the extended cubic B-spline functions for solving time fractional Black–Scholes model

3. A space-time spectral method for time-fractional Black-Scholes equation

4. Derivatives pricing with marked point processes using tick-by-tick data

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1. Pointwise-in-time $ \alpha $-robust error estimate of the ADI difference scheme for three-dimensional fractional subdiffusion equations with variable coefficients;Communications in Analysis and Mechanics;2024

2. An improved approximate method for solving two-dimensional time-fractional-order Black-Scholes model: a finite difference approach;AIMS Mathematics;2024

3. Efficient numerical method for multi-term time-fractional diffusion equations with Caputo-Fabrizio derivatives;AIMS Mathematics;2024

4. A Preconditioner for Galerkin–Legendre Spectral All-at-Once System from Time-Space Fractional Diffusion Equation;Symmetry;2023-12-02

5. Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation;Networks and Heterogeneous Media;2023

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