Numerical simulation of a finite moment log stable model for a European call option (Q2407863)
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scientific article; zbMATH DE number 6787403
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| English | Numerical simulation of a finite moment log stable model for a European call option |
scientific article; zbMATH DE number 6787403 |
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Numerical simulation of a finite moment log stable model for a European call option (English)
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6 October 2017
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FMLS model
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Riemann-Liouville fractional derivative
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numerical simulation
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fast Fourier transform
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bi-conjugrate gradient stabilized method
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European option
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0.8434067964553833
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0.8232962489128113
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0.8223874568939209
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0.8153852820396423
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