A weighted finite difference method for subdiffusive Black-Scholes model (Q2194785)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A weighted finite difference method for subdiffusive Black-Scholes model |
scientific article |
Statements
A weighted finite difference method for subdiffusive Black-Scholes model (English)
0 references
7 September 2020
0 references
weighted finite difference method
0 references
subdiffusion
0 references
time fractional Black-Scholes model
0 references
European option
0 references
Caputo fractional derivative
0 references
0 references
0 references
0 references
0 references
0 references
