When solving time fractional partial integro-differential equations (PIDEs) using standard
finite difference methods, we have to invert the dense matrices arising from the discretization …

Recently, regime-switching option pricing based on fractional diffusion models has been
used, which explains many significant empirical facts about financial markets better. There …

We provide a fast numerical technique for a time-fractional option pricing model with asset-
price-dependent variable order. Due to the complicated variable-order fractional derivative …

In recent years, fractional partial differential equation (FPDE) has been widely applied in
options pricing problems, which better explains many important empirical facts of financial …

Recently, fractional partial differential equations have been widely applied in option pricing
problems, which better explains many important empirical facts of financial markets, but rare …

A high-order finite difference numerical scheme based on the compact difference operator is
proposed in this paper for time-fractional partial integro-differential equations with a weakly …

Some scientific pieces of research are governed by classes of partial integro-differential
equations (PIDEs) of fractional order that are leading to novel challenges in simulation and …

The aim of this paper is to develop an implicit–explicit (IMEX) scheme for solving the 2-
dimensional (2-D) partial integro-differential equations with spatial delays arising in option …

We present a fully-discrete finite element scheme to a generalized distributed-order time-
fractional option pricing model, which adequately describes, eg, the valuation of the …

Efficient long-time integration of nonlinear fractional differential equations is significantly
challenging due to the integro-differential nature of the fractional operators. In addition, the …