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References from Efficient operator splitting and spectral methods for the time-space fractional Black–Scholes equation. Local targets link to admitted publications; unresolved targets remain external evidence.
Théorie de la spéculation
10.24033/asens.476 · 1900 · External reference
The pricing of options and corporate liabilities
10.1086/260062 · 1973 · External reference
The fractional Black–Scholes equation
2000 · External reference
Derivation and solutions of some fractional Black–Scholes equations in coarse-grained space and time. Application to Merton’s optimal portfolio
10.1016/j.camwa.2009.05.015 · 2010 · External reference
Option pricing of a bi-fractional Black–Merton–Scholes model with the Hurst exponent H in [12,1]
10.1016/j.aml.2010.03.022 · 2010 · External reference
The solutions to a bi-fractional Black–Scholes–Merton differential equation
2010 · External reference
Fast numerical simulation of a new time-space fractional option pricing model governing European call option
2018 · External reference
The finite moment log stable process and option pricing
10.1111/1540-6261.00544 · 2003 · External reference
The valuation of American put options
10.2307/2326779 · 1977 · External reference
The solution of a quadratic programming problem using systematic overrelaxation
10.1137/0309028 · 1971 · External reference
Application of operator splitting methods in finance
2016 · External reference
A new operator splitting method for American options under fractional Black–Scholes models
10.1016/j.camwa.2018.12.007 · 2019 · External reference
The accuracy and stability of an implicit solution method for the fractional diffusion equation
10.1016/j.jcp.2004.11.025 · 2005 · External reference
Finite difference/spectral approximations for the time-fractional diffusion equation
10.1016/j.jcp.2007.02.001 · 2007 · External reference
Implicit finite difference approximation for time fractional diffusion equations
10.1016/j.camwa.2008.02.015 · 2008 · External reference
Correction of high-order BDF convolution quadrature for fractional evolution equations
10.1137/17m1118816 · 2017 · External reference
An approach to construct higher order time discretisation schemes for time fractional partial differential equations with nonsmooth data
10.1515/fca-2017-0058 · 2017 · External reference
Solution of the fractional Black–Scholes option pricing model by finite difference method
2013 · External reference
A universal difference method for time-space fractional Black–Scholes equation
2016 · External reference
Numerical solution of time-fractional Black–Scholes equation
10.1007/s40314-016-0330-z · 2017 · External reference
Numerical solution of the time fractional Black–Scholes model governing European options
10.1016/j.camwa.2016.02.007 · 2016 · External reference
Numerical approximation of a time-fractional Black–Scholes equation
10.1016/j.camwa.2018.01.016 · 2018 · External reference
Numerically pricing double barrier options in a time-fractional Black–Scholes model
10.1016/j.camwa.2017.06.005 · 2017 · External reference
A class of intrinsic parallel difference methods for time-space fractional Black–Scholes equation
2018 · External reference
A generalized spectral collocation method with tunable accuracy for fractional differential equations with end-point singularities
10.1137/16m1076083 · 2017 · External reference
Spectral collocation method for fractional differential/integral equations with generalized fractional operator
2019 · External reference
A space-time Petrov–Galerkin spectral method for time fractional diffusion equation
10.4208/nmtma.2018.s10 · 2018 · External reference
A multi-domain spectral method for time-fractional differential equations
10.1016/j.jcp.2014.10.016 · 2015 · External reference
Unresolved reference
2020 · External reference
Multi-domain spectral collocation method for variable-order nonlinear fractional differential equations
10.1016/j.cma.2019.01.040 · 2019 · External reference
Spectral element method with geometric mesh for two-sided fractional differential equations
10.1007/s10444-017-9561-9 · 2018 · External reference
Discontinuous spectral element methods for time-and space-fractional advection equations
10.1137/130940967 · 2014 · External reference
Exponentially accurate spectral and spectral element methods for fractional ODEs
10.1016/j.jcp.2013.09.039 · 2014 · External reference
A Petrov–Galerkin spectral element method for fractional elliptic problems
10.1016/j.cma.2017.06.006 · 2017 · External reference
A hybrid spectral element method for fractional two-point boundary value problems
10.4208/nmtma.2017.s11 · 2017 · External reference
Fractional spectral collocation method
10.1137/130933216 · 2014 · External reference
Unresolved reference
2011 · External reference
Generalized Jacobi functions and their applications to fractional differential equations
10.1090/mcom3035 · 2016 · External reference