Numerical approximation of a time-fractional Black-Scholes equation
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Publication:1999677
DOI10.1016/j.camwa.2018.01.016zbMath1415.65187OpenAlexW2794314669MaRDI QIDQ1999677
Anbo Le, Aimin Xu, Zhongdi Cen, Jian Huang
Publication date: 27 June 2019
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2018.01.016
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) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)
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