A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing (Q1997989)
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scientific article; zbMATH DE number 7318021
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| English | A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing |
scientific article; zbMATH DE number 7318021 |
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A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing (English)
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6 March 2021
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two-dimensional spatial-fractional Black-Scholes equation
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alternating direction implicit method
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option pricing
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finite difference
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0.8835826516151428
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0.8813859820365906
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