Kazmi, Kamran A second order numerical method for the time-fractional Black-Scholes European option pricing model. (English) Zbl 1502.91058 J. Comput. Appl. Math. 418, Article ID 114647, 17 p. (2023). MSC: 91G60 65N06 65D25 65D30 65B05 35R09 35R11 35Q91 45K05 65R20 65M12 91G20 PDFBibTeX XMLCite \textit{K. Kazmi}, J. Comput. Appl. Math. 418, Article ID 114647, 17 p. (2023; Zbl 1502.91058) Full Text: DOI
Jiang, Xiaoying; Xu, Xiang On implied volatility recovery of a time-fractional Black-Scholes equation for double barrier options. (English) Zbl 1484.91518 Appl. Anal. 100, No. 15, 3145-3160 (2021). Reviewer: Deshna Loonker (Jodhpur) MSC: 91G60 65M06 65R20 35R11 45Q05 91G20 45B05 PDFBibTeX XMLCite \textit{X. Jiang} and \textit{X. Xu}, Appl. Anal. 100, No. 15, 3145--3160 (2021; Zbl 1484.91518) Full Text: DOI
Cen, Zhongdi; Huang, Jian; Xu, Aimin; Le, Anbo Numerical approximation of a time-fractional Black-Scholes equation. (English) Zbl 1415.65187 Comput. Math. Appl. 75, No. 8, 2874-2887 (2018). MSC: 65M06 35R11 35Q91 91G60 91G20 45K05 PDFBibTeX XMLCite \textit{Z. Cen} et al., Comput. Math. Appl. 75, No. 8, 2874--2887 (2018; Zbl 1415.65187) Full Text: DOI
Song, Lina; Wang, Weiguo Solution of the fractional Black-Scholes option pricing model by finite difference method. (English) Zbl 1291.91235 Abstr. Appl. Anal. 2013, Article ID 194286, 10 p. (2013). MSC: 91G60 65M06 35R11 45K05 91G20 PDFBibTeX XMLCite \textit{L. Song} and \textit{W. Wang}, Abstr. Appl. Anal. 2013, Article ID 194286, 10 p. (2013; Zbl 1291.91235) Full Text: DOI
Abdel-Rehim, E. A. From the Ehrenfest model to time-fractional stochastic processes. (English) Zbl 1185.60048 J. Comput. Appl. Math. 233, No. 2, 197-207 (2009). Reviewer: Rudolf Gorenflo (Berlin) MSC: 60G50 26A33 45K05 60J60 65N06 82C41 82C80 PDFBibTeX XMLCite \textit{E. A. Abdel-Rehim}, J. Comput. Appl. Math. 233, No. 2, 197--207 (2009; Zbl 1185.60048) Full Text: DOI