A spectral collocation method based on fractional Pell functions for solving time–fractional Black–Scholes option pricing model-Reference-Cited by-同舟云学术

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A spectral collocation method based on fractional Pell functions for solving time–fractional Black–Scholes option pricing model

Published:2022-10 Issue: Volume:163 Page:112571
ISSN:0960-0779
Container-title:Chaos, Solitons & Fractals
language:en
Short-container-title:Chaos, Solitons & Fractals

Author:

Taghipour M.,Aminikhah H.^ORCID

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference40 articles.

1. Mathematical modeling and methods of option pricing;Lishang,2005

2. The pricing of options and corporate liabilities;Black;J Polit Econ,1973

3. Theory of rational option pricing;Merton;Bell J Econ Manage Sci,1973

4. The Black–Scholes model;Capiński,2012

5. Methods of mathematical modelling: Fractional differential equations;Singh,2019

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1. Pell polynomial solution of the fractional differential equations in the Caputo–Fabrizio sense;Indian Journal of Pure and Applied Mathematics;2024-08-30

2. A High-Order Numerical Method Based on a Spatial Compact Exponential Scheme for Solving the Time-Fractional Black–Scholes Model;Fractal and Fractional;2024-08-07

3. An efficient wavelet method for the time‐fractional Black–Scholes equations;Mathematical Methods in the Applied Sciences;2024-05-08

4. A wavelet collocation method for fractional Black–Scholes equations by subdiffusive model;Numerical Methods for Partial Differential Equations;2024-05-02

5. Option pricing in the illiquid markets under the mixed fractional Brownian motion model;Chaos, Solitons & Fractals;2024-05

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