Nonuniform Finite Difference Scheme for the Three-Dimensional Time-Fractional Black-Scholes Equation
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Sangkwon | - |
dc.contributor.author | Lee, Chaeyoung | - |
dc.contributor.author | Lee, Wonjin | - |
dc.contributor.author | Kwak, Soobin | - |
dc.contributor.author | Jeong, Darae | - |
dc.contributor.author | Kim, Junseok | - |
dc.date.accessioned | 2022-02-11T21:40:18Z | - |
dc.date.available | 2022-02-11T21:40:18Z | - |
dc.date.created | 2022-01-19 | - |
dc.date.issued | 2021-12-24 | - |
dc.identifier.issn | 2314-8896 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/135386 | - |
dc.description.abstract | In this study, we present an accurate and efficient nonuniform finite difference method for the three-dimensional (3D) time-fractional Black-Scholes (BS) equation. The operator splitting scheme is used to efficiently solve the 3D time-fractional BS equation. We use a nonuniform grid for pricing 3D options. We compute the three-asset cash-or-nothing European call option and investigate the effects of the fractional-order alpha in the time-fractional BS model. Numerical experiments demonstrate the efficiency and fastness of the proposed scheme. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | HINDAWI LTD | - |
dc.subject | DOUBLE-BARRIER OPTIONS | - |
dc.subject | MODEL | - |
dc.title | Nonuniform Finite Difference Scheme for the Three-Dimensional Time-Fractional Black-Scholes Equation | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Junseok | - |
dc.identifier.doi | 10.1155/2021/9984473 | - |
dc.identifier.scopusid | 2-s2.0-85122761562 | - |
dc.identifier.wosid | 000739186700001 | - |
dc.identifier.bibliographicCitation | JOURNAL OF FUNCTION SPACES, v.2021 | - |
dc.relation.isPartOf | JOURNAL OF FUNCTION SPACES | - |
dc.citation.title | JOURNAL OF FUNCTION SPACES | - |
dc.citation.volume | 2021 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Applied | - |
dc.relation.journalWebOfScienceCategory | Mathematics | - |
dc.subject.keywordPlus | DOUBLE-BARRIER OPTIONS | - |
dc.subject.keywordPlus | MODEL | - |
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