Generalizing subdiffusive Black-Scholes model by variable exponent: model transformation and numerical approximation

DOI10.1007/S10473-026-0224-0MaRDI QIDQ6861209zbMATH OpenFDO

Authors Meihui Zhang, Yaxue Liu, Meng-Meng Liu, Wenlin Qiu, Xiangcheng Zheng

Publication date 10 February 2026

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

zbMATH Keywords

option pricingerror estimatevariable exponentBlack-Scholes modelsubdiffusion

Mathematics Subject Classification ID

Finite difference methods for boundary value problems involving PDEs (65N06) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)

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