Efficient operator splitting and spectral methods for the time-space fractional Black–Scholes equation

Efficient operator splitting and spectral methods for the time-space fractional Black–Scholes equation

In this paper, we aim at developing improved L1 operator splitting method and spectral method for Black–Scholes differential systems with fractional derivatives in both time and space. We address the challenge of slow convergence in time and provide efficient approaches to handle complementarity con...

Full description

Bibliographic Details
Main Authors: Mustafa Almushaira, Feng Chen, Fei Liu
Format: Article
Language:English
Published: Elsevier 2021-05-01
Series:Results in Applied Mathematics
Subjects:
Spectral collocation method
Operator splitting
Improved L1 approximation
Time-space fractional black–Scholes
American option
Online Access:http://www.sciencedirect.com/science/article/pii/S2590037421000091

Internet

http://www.sciencedirect.com/science/article/pii/S2590037421000091

Similar Items