A hybrid Chelyshkov wavelet-finite differences method for time-fractional Black-Scholes equation

Numerical methods for wavelets (65T60) Finite difference methods for boundary value problems involving PDEs (65N06) Fractional partial differential equations (35R11)

Cites Work

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Numerical solution for diffusion equations with distributed order in time using a Chebyshev collocation method
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Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
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Linear Functional Analysis for Scientists and Engineers
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Numerical methods for fractional partial differential equations
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