Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing (Q2098796)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7621824
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing |
scientific article; zbMATH DE number 7621824 |
Statements
Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing (English)
0 references
22 November 2022
0 references
2D time-space fractional Black-Scholes equation
0 references
European two-asset option pricing
0 references
all-at-once preconditioners
0 references
Toeplitz matrix
0 references
low rank approximation
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8813859820365906
0 references
0.8449801206588745
0 references
