A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation

DOI10.1186/s13662-018-1736-2zbMath1446.65093OpenAlexW2886013628WikidataQ129408346 ScholiaQ129408346MaRDI QIDQ1710274

Yue Li, Shu-Zhen Sun, Xiao-zhong Yang

Publication date: 22 January 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-018-1736-2

zbMATH Keywords

convergenceunconditional stabilityparallel computingintrinsic parallel difference methodstime-space fractional Black-Scholes (B-S) equation

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Fractional partial differential equations (35R11)

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