A high-order numerical scheme and its analysis for Caputo temporal-fractional Black-Scholes model: European double barrier knock-out option
DOI10.1007/S11075-024-01802-2MaRDI QIDQ6660865
Publication date: 10 January 2025
Published in: Numerical Algorithms (Search for Journal in Brave)
stabilityexistence and uniquenessoption pricetheoretical analysismaximum-minimum principletime-fractional Black-Scholes model
Fractional derivatives and integrals (26A33) Financial applications of other theories (91G80) Numerical methods for initial value problems involving ordinary differential equations (65L05)
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