A robust numerical solution to a time-fractional Black-Scholes equation
DOI10.1186/s13662-021-03259-2zbMath1494.91161OpenAlexW3163975797MaRDI QIDQ2166825
Samuel M. Nuugulu, Kailash C. Patidar, Frednard Gideon
Publication date: 25 August 2022
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-021-03259-2
option pricingfinite difference methodsconvergence and stability analysistime-fractional Black-Scholes equations
Numerical methods (including Monte Carlo methods) (91G60) 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) Fractional partial differential equations (35R11)
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