A compact quadratic spline collocation method for the time-fractional Black-Scholes model
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Publication:2053222
DOI10.1007/s12190-020-01439-zOpenAlexW3089776119MaRDI QIDQ2053222
Zhaowei Tian, Shuying Zhai, Haifeng Ji, Zhifeng Weng
Publication date: 29 November 2021
Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12190-020-01439-z
European optionexponential transformationquadratic spline collocation methodtime-fractional Black-Scholes equation
Functions of one variable (26Axx) Numerical analysis (65-XX) Ordinary differential equations (34-XX) General topics in partial differential equations (35Axx) General theory for ordinary differential equations (34Axx)
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