A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model
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Publication:6625119
DOI10.1080/00207160.2023.2254412MaRDI QIDQ6625119
Hu Li, Jinfeng Zhou, Yong-Liang Zhao, Xian-Ming Gu
Publication date: 28 October 2024
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)
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