scientific article; zbMATH DE number 7266412

zbMath1463.65257MaRDI QIDQ5129395

Ming Shen, Hongmei Zhang, Fawang Liu, Shanzhen Chen

Publication date: 27 October 2020

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

numerical simulationLévy processfractional derivativefast bi-conjugate gradient stabilized method2D fractional Black-Scholes model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Numerical solutions to overdetermined systems, pseudoinverses (65F20) 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)

Related Items (2)

A second-order ADI method for pricing options under fractional regime-switching models ⋮ Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation

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