Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market
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Publication:2098668
DOI10.1016/j.chaos.2022.111895zbMath1498.91499OpenAlexW4212913796MaRDI QIDQ2098668
Shuai Wen, Wei Shao, Mengdie Yang, Ji'an Wang
Publication date: 18 November 2022
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2022.111895
Numerical methods (including Monte Carlo methods) (91G60) 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)
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