Algorithms of finite difference for pricing American options under fractional diffusion models
DOI10.1155/2014/364868zbMath1407.91277OpenAlexW2028720793WikidataQ59064633 ScholiaQ59064633MaRDI QIDQ1718197
Jun Xi, Yanqing Chen, Jian-Wen Cao
Publication date: 8 February 2019
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/364868
Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Fractional partial differential equations (35R11)
Cites Work
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