A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
type: Item
instance of: scholarly article
title: A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing
author: Wen Chen
author: Song Wang
published in: Mathematics and Computers in Simulation
publication date: 2021-03-06T00:00:00Z
Mathematics Subject Classification ID: 65Mxx
Mathematics Subject Classification ID: 35Rxx
zbMATH DE Number: 7318021
zbMATH Keywords: two-dimensional spatial-fractional Black-Scholes equation
zbMATH Keywords: alternating direction implicit method
zbMATH Keywords: option pricing
zbMATH Keywords: finite difference
MaRDI profile type: Publication
full work available at URL: j.matcom.2019.10.016
OpenAlex ID: W2988207590
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Wikidata QID: Q113293525
DOI: 10.1016/J.MATCOM.2019.10.016
description: scientific article; zbMATH DE number 7318021