SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL (Q5158755)

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scientific article; zbMATH DE number 7414001
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SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL
scientific article; zbMATH DE number 7414001

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    SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL (English)
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    26 October 2021
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    spectral element discretization
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    option pricing
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    time-fractional Black-Scholes equation
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