High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options (Q2677413): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.chaos.2022.112423 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W4286470391 / rank | |||
Normal rank | |||
Revision as of 01:34, 20 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
