Solution of the fractional Black-Scholes option pricing model by finite difference method
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Fractional partial differential equations (35R11) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
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Cited in
(73)- Fast numerical simulation of a new time-space fractional option pricing model governing European call option
- A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
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- Calculations of fractional derivative option pricing models based on neural network
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