On the numerical solution of time fractional Black-Scholes equation
Author:
Affiliation:
1. Department of Mathematics, Saveh Branch, Islamic Azad University, Saveh, Iran
2. Faculty of Mathematics, K. N. Toosi University of Technology, Tehran, Iran
Publisher
Informa UK Limited
Subject
Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications
Link
https://www.tandfonline.com/doi/pdf/10.1080/00207160.2021.2011248
Reference54 articles.
1. Examples of Analytical Solutions by Means of Mittag-Leffler Function of Fractional Black-Scholes Option Pricing Equation
2. Univariate multiquadric approximation: Quasi-interpolation to scattered data
3. Fractional diffusion models of option prices in markets with jumps
4. Numerical approximation of a time-fractional Black–Scholes equation
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4. A fast compact difference scheme with unequal time-steps for the tempered time-fractional Black–Scholes model;International Journal of Computer Mathematics;2023-09-06
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