Numerical approximation of a time-fractional Black–Scholes equation

2018/02/12 by Zhongdi Cen, Jian Huang, Aimin Xu +1
Mathematics · #Fractional Differential Equations Solutions #Differential Equations and Numerical Methods #Numerical methods for differential equations

paper · doi:10.1016/j.camwa.2018.01.016

Citations

• The Pricing of Options and Corporate Liabilities
• Numerically pricing double barrier options in a time-fractional Black–Scholes model