A robust numerical simulation of a fractional Black-Scholes equation for pricing American options (Q6598052)
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scientific article; zbMATH DE number 7906464
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A robust numerical simulation of a fractional Black-Scholes equation for pricing American options |
scientific article; zbMATH DE number 7906464 |
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A robust numerical simulation of a fractional Black-Scholes equation for pricing American options (English)
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4 September 2024
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time-fractional Black-Scholes equation
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free boundary conditions
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American options
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front-fixing transformations
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