High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options (Q2677413)
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scientific article; zbMATH DE number 7642172
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| English | High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options |
scientific article; zbMATH DE number 7642172 |
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High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options (English)
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13 January 2023
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high order compact difference schemes
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time-fractional Black-Scholes equation
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European option
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Fourier method
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Caputo fractional derivative
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stability
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convergence
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