Numerical solution of the time fractional Black-Scholes model governing European options (Q2007215)
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scientific article; zbMATH DE number 7259741
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| English | Numerical solution of the time fractional Black-Scholes model governing European options |
scientific article; zbMATH DE number 7259741 |
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Numerical solution of the time fractional Black-Scholes model governing European options (English)
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12 October 2020
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time fractional Black-Scholes model
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modified Riemann-Liouville fractional derivative
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Caputo fractional derivative
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European option
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numerical simulation
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0.9358319640159608
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0.9232490062713624
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0.8870049715042114
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0.8863823413848877
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