Local Gaussian-Collocation Scheme to Approximate the Solution of Nonlinear Fractional Differential Equations Using Volterra Integral Equations

Assari, Pouria; Asadi‐Mehregan, Fatemeh; Dehghan, Mehdi

doi:10.4208/jcm.1912-m2019-0072

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2022

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Cited by 2 publications

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“…Next, we will investigate convergence rates of the two-step fractional Adams scheme for the authors of (10). In the future, we will try to find more efficient numerical methods to solve the Volterra integral equation (10) as well as using meshless methods (refer to Assari and Dehghan [18,19], Assari and Cuomo [20], and references to study the properties of the Volterra integral equation (10).…”

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confidence: 99%

Solving Parametric Volterra Integral Equation from Distributed-Order Rough Heston Model and Option Pricing

Shi

2022

Mathematical Problems in Engineering

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The rough Heston model has recently attracted the attention of many financial practitioners and researchers because it maintains the basic structure of the classic Heston model and has an advantage in describing the microstructure foundation of the market. In this paper, we study the distributed-order rough Heston model with an exponential tempered factor, and from the characteristic function of log-price in this model, we obtain a nonlinear parametric Volterra integral equation. Finally, the Fourier-cosine methods are combined with the Adams methods to price the option.

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Section: Discussionmentioning

confidence: 99%

Solving Parametric Volterra Integral Equation from Distributed-Order Rough Heston Model and Option Pricing

Shi

2022

Mathematical Problems in Engineering

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Numerical Evaluation of Variable-Order Fractional Nonlinear Volterra Functional-Integro-Differential Equations with Non-singular Kernel Derivative

Dehestani

Ordokhani

2022

Iran J Sci Technol Trans Sci

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Local Gaussian-Collocation Scheme to Approximate the Solution of Nonlinear Fractional Differential Equations Using Volterra Integral Equations

Cited by 2 publications

References 0 publications

Solving Parametric Volterra Integral Equation from Distributed-Order Rough Heston Model and Option Pricing

Solving Parametric Volterra Integral Equation from Distributed-Order Rough Heston Model and Option Pricing

Numerical Evaluation of Variable-Order Fractional Nonlinear Volterra Functional-Integro-Differential Equations with Non-singular Kernel Derivative

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