A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation

Published:2022-08-07 Issue:2 Volume:46 Page:1990-2011
ISSN:0170-4214
Container-title:Mathematical Methods in the Applied Sciences
language:en
Short-container-title:Math Methods in App Sciences

Author:

Song Kerui¹,Lyu Pin¹^ORCID

Affiliation:

1. School of Mathematics Southwestern University of Finance and Economics Chengdu China

Funder

National Natural Science Foundation of China

Natural Science Foundation of Sichuan Province

Fundamental Research Funds for the Central Universities

Publisher

Wiley

Subject

General Engineering,General Mathematics

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/mma.8623

Reference41 articles.

1. The Pricing of Options and Corporate Liabilities

2. A fractional Black-Scholes model with stochastic volatility and European option pricing

3. Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching

4. A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. 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

2. Temporal Second-Order Fast Finite Difference/Compact Difference Schemes for Time-Fractional Generalized Burgers’ Equations;Journal of Scientific Computing;2024-04-12

3. Long time H1-stability of fast L2-1σ method on general nonuniform meshes for subdiffusion equations;Journal of Computational and Applied Mathematics;2024-04

4. Linearized fast time-stepping schemes for time–space fractional Schrödinger equations;Physica D: Nonlinear Phenomena;2023-11

5. A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model;International Journal of Computer Mathematics;2023-09-06

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3