A new operator splitting method for American options under fractional Black-Scholes models (Q2203918)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new operator splitting method for American options under fractional Black-Scholes models |
scientific article |
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A new operator splitting method for American options under fractional Black-Scholes models (English)
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2 October 2020
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linear complementarity problem
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operator splitting
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Black-Scholes
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American option
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fractional calculus
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order of convergence
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0.92386425
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0.9126911
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0.9112407
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0.90237427
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