High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options (Q2677413): Difference between revisions

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Property / author: Amirhossein Refahi Sheikhani / rank
 
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Property / full work available at URL: https://doi.org/10.1016/j.chaos.2022.112423 / rank
 
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Latest revision as of 08:14, 31 July 2024

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High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options
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    High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options (English)
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    13 January 2023
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    high order compact difference schemes
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    time-fractional Black-Scholes equation
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    European option
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    Fourier method
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    Caputo fractional derivative
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    stability
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    convergence
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