Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market
type: Item
instance of: scholarly article
title: Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market
zbMATH Open document ID: 1498.91499
author: Shuai Wen
author: Mengdie Yang
author: Wei Shao
author: Ji'an Wang
published in: Chaos, Solitons and Fractals
publication date: 2022-11-18T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 35R11
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7620191
zbMATH Keywords: European option
zbMATH Keywords: fractal Black-Scholes model
zbMATH Keywords: Hurst exponent
MaRDI profile type: Publication
full work available at URL: j.chaos.2022.111895
OpenAlex ID: W4212913796
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DOI: 10.1016/J.CHAOS.2022.111895
description: scientific article; zbMATH DE number 7620191