A weighted finite difference method for subdiffusive Black-Scholes model (Q2194785)
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scientific article; zbMATH DE number 7244226
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| English | A weighted finite difference method for subdiffusive Black-Scholes model |
scientific article; zbMATH DE number 7244226 |
Statements
A weighted finite difference method for subdiffusive Black-Scholes model (English)
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7 September 2020
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weighted finite difference method
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subdiffusion
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time fractional Black-Scholes model
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European option
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Caputo fractional derivative
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0.9251139
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0.90338117
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0.89534456
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0.8892243
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0.88810134
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0.8875611
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0.8873321
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0.88642466
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