Solution of the fractional Black-Scholes option pricing model by finite difference method

DOI10.1155/2013/194286zbMath1291.91235WikidataQ58915501 ScholiaQ58915501MaRDI QIDQ2015204

Wei-Guo Wang, Lina Song

Publication date: 23 June 2014

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/194286

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

45K05: Integro-partial differential equations

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

35R11: Fractional partial differential equations

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