A second order numerical method for the time-fractional Black-Scholes European option pricing model (Q2088801)
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scientific article; zbMATH DE number 7596850
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A second order numerical method for the time-fractional Black-Scholes European option pricing model |
scientific article; zbMATH DE number 7596850 |
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A second order numerical method for the time-fractional Black-Scholes European option pricing model (English)
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6 October 2022
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time-fractional Black-Scholes equation
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European option pricing model
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Caputo fractional derivative
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Richardson extrapolation
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finite-difference method
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non-smooth initial conditions
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