Numerically pricing double barrier options in a time-fractional Black-Scholes model
type: Item
instance of: scholarly article
title: Numerically pricing double barrier options in a time-fractional Black-Scholes model
zbMATH Open document ID: 1415.91315
author: R. H. De Staelen
author: A. S. Hendy
publication date: 2018-08-23T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 35R11
zbMATH DE Number: 6923858
zbMATH Keywords: fractional differential equation
zbMATH Keywords: numerical scheme
zbMATH Keywords: double barrier option
zbMATH Keywords: Black-Scholes
zbMATH Keywords: convergence
zbMATH Keywords: stability
MaRDI profile type: Publication
full work available at URL: j.camwa.2017.06.005
OpenAlex ID: W2625182672
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DOI: 10.1016/J.CAMWA.2017.06.005
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 6923858