Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing (Q2098796)
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scientific article; zbMATH DE number 7621824
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing |
scientific article; zbMATH DE number 7621824 |
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Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing (English)
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22 November 2022
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2D time-space fractional Black-Scholes equation
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European two-asset option pricing
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all-at-once preconditioners
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Toeplitz matrix
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low rank approximation
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