A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing (Q1997989)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing |
scientific article |
Statements
A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing (English)
0 references
6 March 2021
0 references
two-dimensional spatial-fractional Black-Scholes equation
0 references
alternating direction implicit method
0 references
option pricing
0 references
finite difference
0 references
