Fast numerical scheme for the time-fractional option pricing model with asset-price-dependent variable order
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Publication:6064931
DOI10.1016/j.apnum.2023.06.014zbMath1528.91081OpenAlexW4382052078MaRDI QIDQ6064931
Jinhong Jia, Meihui Zhang, Xiangcheng Zheng, Ahmed S. Hendy, Mahmoud A. Zaky
Publication date: 10 November 2023
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2023.06.014
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Fractional partial differential equations (35R11)
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