High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options (Q2677413): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 09:03, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options |
scientific article |
Statements
High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options (English)
0 references
13 January 2023
0 references
high order compact difference schemes
0 references
time-fractional Black-Scholes equation
0 references
European option
0 references
Fourier method
0 references
Caputo fractional derivative
0 references
stability
0 references
convergence
0 references