Numerical solution of the time fractional Black-Scholes model governing European options
type: Item
instance of: scholarly article
title: Numerical solution of the time fractional Black-Scholes model governing European options
zbMATH Open document ID: 1443.91335
author: Yanyan Li
publication date: 2020-10-12T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 35R11
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7259741
zbMATH Keywords: time fractional Black-Scholes model
zbMATH Keywords: modified Riemann-Liouville fractional derivative
zbMATH Keywords: Caputo fractional derivative
zbMATH Keywords: European option
zbMATH Keywords: numerical simulation
MaRDI profile type: Publication
full work available at URL: j.camwa.2016.02.007
OpenAlex ID: W2315653911
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DOI: 10.1016/J.CAMWA.2016.02.007
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 7259741