A novel numerical scheme for a time fractional Black-Scholes equation
type: Item
instance of: scholarly article
title: A novel numerical scheme for a time fractional Black-Scholes equation
zbMATH Open document ID: 1479.91446
author: Mianfu She
author: Renxuan Tang
author: Dongfang Li
author: Lili Li
published in: Journal of Applied Mathematics and Computing
publication date: 2021-11-29T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M60
Mathematics Subject Classification ID: 65M70
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7435242
zbMATH Keywords: time-fractional Black-Scholes model
zbMATH Keywords: Chebyshev-Galerkin spectral method
zbMATH Keywords: change of variable
zbMATH Keywords: modified \(L1\) scheme
MaRDI profile type: Publication
full work available at URL: s12190-020-01467-9
OpenAlex ID: W3110217938
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DOI: 10.1007/S12190-020-01467-9
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description: scientific article; zbMATH DE number 7435242