A space-time spectral method for time-fractional Black-Scholes equation
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Publication:2029115
DOI10.1016/j.apnum.2021.02.009zbMath1466.91320MaRDI QIDQ2029115
V. V. Anh, Ian W. Turner, Fawang Liu, Min-Ling Zheng, Xingyu An
Publication date: 3 June 2021
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2021.02.009
26A33: Fractional derivatives and integrals
91G20: Derivative securities (option pricing, hedging, etc.)