A Second Order Numerical Scheme for Fractional Option Pricing Models (Q5014265): Difference between revisions

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Property / cites work: A Black--Scholes option pricing model with transaction costs / rank
 
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Revision as of 08:55, 27 July 2024

scientific article; zbMATH DE number 7437357
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English
A Second Order Numerical Scheme for Fractional Option Pricing Models
scientific article; zbMATH DE number 7437357

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    A Second Order Numerical Scheme for Fractional Option Pricing Models (English)
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    1 December 2021
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    Lévy process
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    fractional partial differential equation
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    option pricing
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    finite difference
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    stock index option
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