Numerical analysis of time fractional Black–Scholes European option pricing model arising in financial market

A Golbabai, O Nikan, T Nikazad - Computational and Applied …, 2019 - Springer
The price variation of the correlated fractal transmission system is used to deduce the
fractional Black–Scholes model that has an α α-order time fractional derivative. The …

Hypergeometric fractional derivatives formula of shifted Chebyshev polynomials: tau algorithm for a type of fractional delay differential equations

WM Abd-Elhameed, JAT Machado… - International Journal of …, 2022 - degruyter.com
This paper presents an explicit formula that approximates the fractional derivatives of
Chebyshev polynomials of the first-kind in the Caputo sense. The new expression is given in …

Two Fibonacci operational matrix pseudo-spectral schemes for nonlinear fractional Klein–Gordon equation

YH Youssri - International Journal of Modern Physics C, 2022 - World Scientific
This paper is devoted to developing spectral solutions for the nonlinear fractional Klein–
Gordon equation. The typical collocation method and the tau method are employed for …

[HTML][HTML] On the analysis and application of a spectral collocation scheme for the nonlinear two-dimensional fractional diffusion equation

I Ali, S Haq, M Hussain, KS Nisar, SU Arifeen - Results in Physics, 2024 - Elsevier
In this paper, we propose and analyze a novel spectral scheme for the numerical solution of
a two-dimensional time-fractional diffusion equation. The proposed scheme approximates …

Tau and Galerkin operational matrices of derivatives for treating singular and Emden–Fowler third-order-type equations

WM Abd-Elhameed, HM Ahmed - International Journal of Modern …, 2022 - World Scientific
In this paper, our target is to implement and analyze numerical algorithms for the numerical
solutions of initial and boundary third-order singular-type equations, and in particular the …

New Fractional Derivative Expression of the Shifted Third‐Kind Chebyshev Polynomials: Application to a Type of Nonlinear Fractional Pantograph Differential …

YH Youssri, WM Abd-Elhameed… - Journal of Function …, 2022 - Wiley Online Library
The main goal of this paper is to develop a new formula of the fractional derivatives of the
shifted Chebyshev polynomials of the third kind. This new formula expresses approximately …

Efficient alternating direction implicit numerical approaches for multi-dimensional distributed-order fractional integro differential problems

T Guo, O Nikan, Z Avazzadeh, W Qiu - Computational and Applied …, 2022 - Springer
This paper proposes the alternating direction implicit (ADI) numerical approaches for
computing the solution of multi-dimensional distributed-order fractional integrodifferential …

[HTML][HTML] Numerical solution of one-and two-dimensional time-fractional Burgers equation via Lucas polynomials coupled with Finite difference method

I Ali, S Haq, SF Aldosary, KS Nisar, F Ahmad - Alexandria Engineering …, 2022 - Elsevier
In this article, a numerical technique based on polynomials is proposed for the solution of
one and two-dimensional time-fractional Burgers equation. First, the given problem is …

The impact of the Chebyshev collocation method on solutions of the time-fractional Black–Scholes

H Mesgarani, A Beiranvand… - Mathematical …, 2021 - Springer
This paper presents a numerical solution of the temporal-fractional Black–Scholes equation
governing European options (TFBSE-EO) in the finite domain so that the temporal derivative …

[PDF][PDF] Modal spectral Tchebyshev Petrov–Galerkin stratagem for the time-fractional nonlinear Burgers' equation

YH Youssri, AG Atta - Iranian Journal of Numerical Analysis and …, 2024 - ijnao.um.ac.ir
Herein, we construct an explicit modal numerical solver based on the spec-tral Petrov–
Galerkin method via a specific combination of shifted Cheby-shev polynomial basis for …