On high-order schemes for tempered fractional partial differential equations (Q2029138): Difference between revisions

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-Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
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+Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
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+MaRDI publication profile
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+Q115360345
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@@ Property / arXiv ID @@
+.07321
@@ Property / arXiv ID: 2009.07321 / rank @@
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+Tempered stable Lévy motion and transient super-diffusion
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+Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
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+Q5363876
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+High order schemes for the tempered fractional diffusion equations
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+Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
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+Tempering stable processes
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+The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
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@@ links / mardi / name / links / mardi / name @@
+Publication:2029138