A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model

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Publication:2656030

DOI10.1016/j.cnsns.2020.105676zbMath1459.91220arXiv2003.05358OpenAlexW3104675892MaRDI QIDQ2656030

Marcin Magdziarz, Grzegorz Krzyżanowski

Publication date: 10 March 2021

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.05358







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