The pioneering work in finance by Black, Scholes and Merton during the 1970s led to the
emergence of the Black-Scholes (BS) equation, which offers a concise and transparent …

To price vanilla European and American options via the fractional Black–Scholes model, first
a (2− α)-order discretization scheme for the Caputo fractional derivative based upon graded …

In this paper, we study a high-order unconditionally stable numerical method to approximate
the class of multi-term time-fractional diffusion equations. This type of problem appears in …

This work proposes a numerical method for solving the two-dimensional time-fractional
convection-diffusion (TFCD) equation. The time-fractional derivative is considered in the …

Abstract The fractional Black–Scholes equation has been widely studied by researchers in
recent years. In this article, an efficient spectral collocation method based on fractional Pell …

The main idea of this study is to introduce a novel set of wavelet functions named Touchard
wavelets for solving time-fractional Black–Scholes equations. The numerical method is …

The goal of this work is to develop a high-order numerical technique to solve a two-
dimensional fractional neutron diffusion (FND) model describing dynamical behavior of a …

The current work devotes to design an adaptive numerical scheme for solving a time-
fractional reaction–diffusion (TFRD) model. The time-fractional derivative in this problem is …

This paper deals with the design and analysis of a high-order numerical scheme for the two-
dimensional time-fractional reaction-subdiffusion equation. The time-fractional derivative of …

This article proposes an efficient numerical technique for solving the two-dimensional
fractional neutron diffusion (FND) model with time-dependent reactivity which describes …