PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS
DOI10.1142/S0218348X22401661zbMath1498.91500OpenAlexW4226059467MaRDI QIDQ5101563
Xianhua Xu, Hossein Jafari, B. Farnam, Yones Esmaeelzade Aghdam, Mantepu Tshepo Masetshaba, Canan Ünlü
Publication date: 30 August 2022
Published in: Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0218348x22401661
option pricingspectral methodChebyshev basistwo-dimensional spatial-fractional Black-Scholes equationtemporal-discretization
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Fractional partial differential equations (35R11)
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