A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options (Q5025469)
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scientific article; zbMATH DE number 7468449
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| English | A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options |
scientific article; zbMATH DE number 7468449 |
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2 February 2022
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CEV model
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time-dependent parameters
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option pricing
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American option
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fractional Black-Scholes equation
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compact difference scheme
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A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options (English)
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