A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black-Scholes model
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Publication:6430063
arXiv2303.10592MaRDI QIDQ6430063
Yong-Liang Zhao, Hu Li, Jinfeng Zhou, Xian-Ming Gu
Publication date: 19 March 2023
Fractional derivatives and integrals (26A33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)
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