A universal difference method for time-space fractional Black-Scholes equation

DOI10.1186/s13662-016-0792-8zbMath1422.91778OpenAlexW2294758632WikidataQ59468085 ScholiaQ59468085MaRDI QIDQ1796725

Xue Zhang, Lifei Wu, Shu-Zhen Sun, Xiao-zhong Yang

Publication date: 17 October 2018

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

Full work available at URL: https://doi.org/10.1186/s13662-016-0792-8

zbMATH Keywords

stabilityconvergencenumerical experimentstime-space fractional Black-Scholes equationuniversal difference method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional derivatives and integrals (26A33) 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) Derivative securities (option pricing, hedging, etc.) (91G20)

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