A Second Order Numerical Scheme for Fractional Option Pricing Models (Q5014265)
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scientific article; zbMATH DE number 7437357
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Second Order Numerical Scheme for Fractional Option Pricing Models |
scientific article; zbMATH DE number 7437357 |
Statements
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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