Computational algorithm for financial mathematical model based on European option
From MaRDI portal
Publication:6066837
DOI10.1007/s40096-022-00474-0zbMath1530.91614MaRDI QIDQ6066837
Vineet Kumar Singh, Nikhil Srivastava, Aman Singh
Publication date: 14 December 2023
Published in: Mathematical Sciences (Search for Journal in Brave)
convergence analysisstability analysisshifted Legendre polynomialshifted Chebyshev polynomialtime-fractional Black-Scholes modelL1-2 approximation
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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