A 2nd-Order FDM for a 2D Fractional Black-Scholes Equation

DOI10.1007/978-3-319-57099-0_5zbMath1367.91191OpenAlexW2606320733MaRDI QIDQ5274927

Wen Chen, Songgui Wang

Publication date: 7 July 2017

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-57099-0_5

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

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