A difference method with parallel nature for solving time-space fractional Black-Scholes model
DOI10.1016/J.CHAOS.2021.111280zbMATH Open1498.91501OpenAlexW3190263470MaRDI QIDQ2162297FDOQ2162297
Authors: Ruifang Yan, Ying He, Qian Zuo 
Publication date: 5 August 2022
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2021.111280
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convergenceunconditional stabilityparallel calculationmixed alternating segment Crank-Nicolson format (MASC-N)time-space fractional Black-Scholes (B-S) model
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Cited In (3)
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- A universal difference method for time-space fractional Black-Scholes equation
- A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation
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