Fast numerical simulation of a new time-space fractional option pricing model governing European call option
type: Item
instance of: scholarly article
title: Fast numerical simulation of a new time-space fractional option pricing model governing European call option
zbMATH Open document ID: 1429.91346
author: Yanyan Li
published in: Applied Mathematics and Computation
publication date: 2019-11-22T00:00:00Z
full work available at URL: P20 ZLTJ Y18.pdf
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 35R11
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 7134971
zbMATH Keywords: time-space fractional option pricing model
zbMATH Keywords: modified Riemann-Liouville fractional derivative
zbMATH Keywords: Caputo fractional derivative
zbMATH Keywords: European call option
zbMATH Keywords: fast numerical simulation
MaRDI profile type: Publication
OpenAlex ID: W2886385014
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DOI: 10.1016/J.AMC.2018.06.030
description: scientific article; zbMATH DE number 7134971