A high-order numerical scheme and its analysis for Caputo temporal-fractional Black-Scholes model: European double barrier knock-out option
type: Item
instance of: scholarly article
title: A high-order numerical scheme and its analysis for Caputo temporal-fractional Black-Scholes model: European double barrier knock-out option
author: Pradip Roul
published in: Numerical Algorithms
publication date: 2025-01-10T00:00:00Z
Mathematics Subject Classification ID: 65L05
Mathematics Subject Classification ID: 26A33
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 7965185
zbMATH Keywords: time-fractional Black-Scholes model
zbMATH Keywords: existence and uniqueness
zbMATH Keywords: theoretical analysis
zbMATH Keywords: stability
zbMATH Keywords: maximum-minimum principle
zbMATH Keywords: option price
MaRDI profile type: Publication
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DOI: 10.1007/S11075-024-01802-2
description: scientific article; zbMATH DE number 7965185