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A Hybrid Spectral-Finite Difference Method for Numerical Pricing of Time-Fractional Black–Scholes Equation
In this paper, option pricing through introducing a novel hybrid method for solving time-fractional Black–Scholes equation is considered. The...
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An Efficient Numerical Method Based on Exponential B-splines for a Time-Fractional Black–Scholes Equation Governing European Options
In this paper a time-fractional Black–Scholes model (TFBSM) is considered to study the price change of the underlying fractal transmission system. We...
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An Efficient Numerical Scheme to Approach the Time Fractional Black–Scholes Model Using Orthogonal Gegenbauer Polynomials
This paper proposes an efficient procedure to estimate the fractional Black–Scholes model in time-dependent on the market prices of European options...
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Numerical Approximation to a Variable-Order Time-Fractional Black–Scholes Model with Applications in Option Pricing
We propose and analyze a fully-discrete finite element method to a variable-order time-fractional Black–Scholes model, which provides adequate...
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Analytical and Numerical Solution for the Time Fractional Black-Scholes Model Under Jump-Diffusion
In this work, we study the numerical solution for time fractional Black-Scholes model under jump-diffusion involving a Caputo differential operator....
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The Convergence Analysis of the Numerical Calculation to Price the Time-Fractional Black–Scholes Model
In this paper, the approximate solution u ( x , t ) of the temporal fractional Black–Scholes model involving the time derivative in the Caputo sense with...
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On the Numerical Option Pricing Methods: Fractional Black-Scholes Equations with CEV Assets
This article explores a stochastic volatility model that incorporates fractional Brownian motion (fBm) into the constant elasticity of variance (CEV)...
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Numerically Pricing Nonlinear Time-Fractional Black–Scholes Equation with Time-Dependent Parameters Under Transaction Costs
One of the assumptions of the classical Black–Scholes (B–S) is that the market is frictionless. Also, the classical B–S model cannot show the memory...
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On a Black–Scholes American Call Option Model
This study focuses on the Black–Scholes American call option model as a moving boundary problem. Using a front-fixing approach, the model is derived...
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Derivation and Application of Some Fractional Black–Scholes Equations Driven by Fractional G-Brownian Motion
In this paper, a new concept for some stochastic process called fractional G-Brownian motion (fGBm) is developed and applied to the financial...
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Accurate and Efficient Finite Difference Method for the Black–Scholes Model with No Far-Field Boundary Conditions
A fast and accurate explicit finite difference scheme for the Black–Scholes (BS) model with no far-field boundary conditions is proposed. The BS...
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On the Solution of the Black–Scholes Equation Using Feed-Forward Neural Networks
This paper deals with a comparative numerical analysis of the Black–Scholes equation for the value of a European call option. Artificial neural...
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The Convergence Investigation of a Numerical Scheme for the Tempered Fractional Black-Scholes Model Arising European Double Barrier Option
The application of Lévy processes including major movements or jumps over a small period of time has proved to be an effective technique in financial...
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An Efficient IMEX Compact Scheme for the Coupled Time Fractional Integro-Differential Equations Arising from Option Pricing with Jumps
When solving time fractional partial integro-differential equations (PIDEs) using standard finite difference methods, we have to invert the dense...
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A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model
Our objective is to solve the time-fractional Vasicek model for European options with a new stabled relaxation method. This new approach is based on...
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Operator Splitting Method to Solve the Linear Complementarity Problem for Pricing American Option: An Approximation of Error
In this manuscript, we proposed the stability and error analysis for the backward difference operator splitting (BDF-OS) methods to solve the linear...
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Dynamic Modeling and Simulation of Option Pricing Based on Fractional Diffusion Equations with Double Derivatives
The work adopts Caputo fractional derivative, conformable fractional derivative and local fractional derivative to study option pricing problems in...
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A Deep Learning Based Numerical PDE Method for Option Pricing
Proper pricing of options in the financial derivative market is crucial. For many options, it is often impossible to obtain analytical solutions to...
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A Computational Method Based on the Moving Least-Squares Approach for Pricing Double Barrier Options in a Time-Fractional Black–Scholes Model
The mathematical modeling in trade and finance issues is the key purpose in the computation of the value and considering option during preferences in...
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Calibration of Local Volatility Surfaces from Observed Market Call and Put Option Prices
We present a novel, straightforward, robust, and precise calibration algorithm for local volatility surfaces based on observed market call and put...
