Numerical solution of time-fractional Black-Scholes equation (Q1699377)
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scientific article; zbMATH DE number 6842744
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| English | Numerical solution of time-fractional Black-Scholes equation |
scientific article; zbMATH DE number 6842744 |
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Numerical solution of time-fractional Black-Scholes equation (English)
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23 February 2018
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fractional partial differential equations
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Black-Scholes equation
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Jumarie's derivative
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finite difference scheme
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stability
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0.9019295573234558
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0.8880745768547058
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0.883719265460968
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0.8766552209854126
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0.8763399124145508
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