| On the Gegenbauer pseudospectral method for the time fractional Black–Scholes European option pricing model |
| کد مقاله : 1030-FEMATH6 |
| نویسندگان |
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محمدمهدی ایزدخواه * گروه علوم کامپیوتر، دانشکده مهندسی کامپیوتر و صنایع، دانشگاه صنعتی بیرجند، بیرجند، ایران |
| چکیده مقاله |
| The time fractional Black–Scholes model(TFBSM) is employed to price American or European call and put options on a stock paying on a non-dividend basis. In this paper, We examine pseudospectral method for numerical solution of TFBSM, based on Gegenbauer polynomials and Chebyshev spectral differentiation matrix . The presented method reduces TFBSM to a generalized Sylvester matrix equation, which can be solved by the global GMRES method. The time fractional Black–Scholes model(TFBSM) is employed to price American or European call and put options on a stock paying on a non-dividend basis. In this paper, We examine pseudospectral method for numerical solution of TFBSM, based on Gegenbauer polynomials and Chebyshev spectral differentiation matrix . The presented method reduces TFBSM to a generalized Sylvester matrix equation, which can be solved by the global GMRES method. The time fractional Black–Scholes model(TFBSM) is employed to price American or European call and put options on a stock paying on a non-dividend basis. In this paper, We examine pseudospectral method for numerical solution of TFBSM, based on Gegenbauer polynomials and Chebyshev spectral differentiation matrix . The presented method reduces TFBSM to a generalized Sylvester matrix equation, which can be solved by the global GMRES method. |
| کلیدواژه ها |
| Time fractional Black–Scholes model, Gegenbauer pseudospectral method, generalized Sylvester matrix equation, global GMRES method |
| وضعیت: پذیرفته شده برای ارائه شفاهی |