A kind of efficient difference method for time-fractional option pricing model

MaRDI QIDQ3462984zbMATH OpenFDO

Authors Xue Zhang, Lifei Wu, Xiaozhong Yang

Publication date 15 January 2016

zbMATH Keywords

convergenceexplicit-implicit schemenumerical experimentstabilitytime-fractional option pricing model

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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