Wang, X.T. (2010) Scaling and Long-Range Dependence in Option Pricing I: Pricing European Option with Transaction Costs under the Fractional Black-Scholes Model. Physica A Statistical Mechanics & Its Applications, 389, 438-444.
https://doi.org/10.1016/j.physa.2009.09.041

has been cited by the following article:

• TITLE: A New Parallel Difference Method for Solving Time Fractional Black-Scholes Model

  AUTHORS: Xuebin Yang, Lifei Wu, Yu Zhang

  KEYWORDS: Time Fractional B-S Model, MASC-N Scheme, Stability, Convergence, Numerical Experiments

  JOURNAL NAME: Journal of Mathematical Finance, Vol.12 No.4, November 3, 2022

  ABSTRACT: A modified Black-Scholes (B-S) model with time fractional derivative is studied when the price change of the underlying is considered as a fractal transmission system. It is very practical in application to study the numerical computation of this time fractional B-S model (TFBSM) governing European options. This paper constructs mixed alternative segment Crank-Nicolson (MASC-N) parallel difference scheme, which accuracy is spatially 2 order and temporally 2-α order. In addition, we have provided a theoretical proof for the stability and convergence of the MASC-N scheme, and demonstrated the accuracy and effectiveness of the proposed method through numerical experiments. The numerical results show that the MASC-N scheme is easy to implement when applied to time fractional B-S model.