Project dates: 01/01/2018 - Ongoing
This project aims to carry out innovative and novel research to solve the following highly related problems on computational models of complex fractional dynamical systems and application to finance. The results will be also used for other fractional models in the financial market.
Chief Investigators
Publications
- Zhang, H., Liu, Fawang, Chen, S., Anh, Vo, Chen, J. (2018) Fast numerical simulation of a new time-space fractional option pricing model governing European call option. Applied Mathematics and Computation, 339, pp.186-198.
- H. Zhang, F. Liu*, I. Turner and S. Chen (2016) The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option. Applied Mathematical Modelling
- H. Zhang, F. Liu*, I. Turner and Q. Yang (2016) Numerical solution of the time fractional Black–Scholes model governing European options. Computers and Mathematics with Applications
- H. Zhang, F. Liu*, I. Turner, S. Chen and Q. Yang (2016) Numerical simulation of a Finite Moment Log Stable model for a European call option. Numerical Algorithms
