Numerical approximation of a time-fractional Black-Scholes equation
type: Item
instance of: scholarly article
title: Numerical approximation of a time-fractional Black-Scholes equation
zbMATH Open document ID: 1415.65187
author: Zhongdi Cen
author: Jian Huang
author: Aimin Xu
author: Anbo Le
publication date: 2019-06-27T00:00:00Z
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 35R11
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 45K05
zbMATH DE Number: 7074094
zbMATH Keywords: option valuation
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: fractional differential equation
zbMATH Keywords: singularity
zbMATH Keywords: adapted mesh
MaRDI profile type: Publication
full work available at URL: j.camwa.2018.01.016
OpenAlex ID: W2794314669
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DOI: 10.1016/J.CAMWA.2018.01.016
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7074094