Design and analysis of a high order computational technique for time‐fractional Black–Scholes model describing option pricing
DOI10.1002/mma.8130zbMath1527.91180OpenAlexW4213050604MaRDI QIDQ6181832
Publication date: 20 December 2023
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.8130
convergenceoption pricecompact difference schemeCaputo's derivativetime-fractional Black-Scholes model
Numerical methods (including Monte Carlo methods) (91G60) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
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