Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
type: Item
instance of: scholarly article
title: Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
author: Min Zhang
author: Guo-Feng Zhang
published in: Numerical Algorithms
publication date: 2022-11-22T00:00:00Z
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65N06
Mathematics Subject Classification ID: 65F10
Mathematics Subject Classification ID: 65F08
Mathematics Subject Classification ID: 65F50
Mathematics Subject Classification ID: 65F55
Mathematics Subject Classification ID: 65N20
Mathematics Subject Classification ID: 65N22
Mathematics Subject Classification ID: 65Y05
Mathematics Subject Classification ID: 15B05
Mathematics Subject Classification ID: 26A33
Mathematics Subject Classification ID: 35R11
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 7621824
zbMATH Keywords: 2D time-space fractional Black-Scholes equation
zbMATH Keywords: European two-asset option pricing
zbMATH Keywords: all-at-once preconditioners
zbMATH Keywords: Toeplitz matrix
zbMATH Keywords: low rank approximation
MaRDI profile type: Publication
full work available at URL: s11075-022-01314-x
OpenAlex ID: W4281904866
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DOI: 10.1007/S11075-022-01314-X
description: scientific article; zbMATH DE number 7621824