Compact finite difference schemes of the time fractional Black-Scholes model (Q5858046)
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scientific article; zbMATH DE number 7331962
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| English | Compact finite difference schemes of the time fractional Black-Scholes model |
scientific article; zbMATH DE number 7331962 |
Statements
COMPACT FINITE DIFFERENCE SCHEMES OF THE TIME FRACTIONAL BLACK-SCHOLES MODEL (English)
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9 April 2021
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time-fractional Black-Scholes equation
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European option
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exponential transformation
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compact difference scheme
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0.9254403114318848
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0.9164204597473145
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0.8908563256263733
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0.8648846745491028
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