Numerical solution of time-fractional Black-Scholes equation

DOI10.1007/s40314-016-0330-zzbMath1410.91488OpenAlexW2295905769MaRDI QIDQ1699377

Lubin G. Vulkov, Miglena N. Koleva

Publication date: 23 February 2018

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-016-0330-z

zbMATH Keywords

stabilityfinite difference schemeBlack-Scholes equationfractional partial differential equationsJumarie's derivative

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for boundary value problems involving PDEs (65N06) Fractional partial differential equations (35R11)

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Cites Work

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