A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
DOI10.1007/s11075-023-01545-6OpenAlexW4378420827MaRDI QIDQ6141522
Jaspreet Kaur, Srinivasan Natesan
Publication date: 19 December 2023
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-023-01545-6
stabilityconvergenceEuropean optionscubic spline methodtime-fractional Black-Scholes PDE\( L 1\)-scheme
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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Numerical analysis (65-XX)
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