A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance (Q6141522)
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scientific article; zbMATH DE number 7780856
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| English | A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance |
scientific article; zbMATH DE number 7780856 |
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A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance (English)
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19 December 2023
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time-fractional Black-Scholes PDE
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cubic spline method
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\( L 1\)-scheme
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European options
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stability
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convergence
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