High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options (Q2677413)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options |
scientific article |
Statements
High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options (English)
0 references
13 January 2023
0 references
high order compact difference schemes
0 references
time-fractional Black-Scholes equation
0 references
European option
0 references
Fourier method
0 references
Caputo fractional derivative
0 references
stability
0 references
convergence
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
