A high‐order and fast scheme with variable time steps for the time‐fractional Black‐Scholes equation
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Publication:6142000
DOI10.1002/mma.8623arXiv2109.02028OpenAlexW4290547600MaRDI QIDQ6142000
Publication date: 21 December 2023
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.02028
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) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Fractional partial differential equations (35R11)
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