Alternating direction implicit finite difference method for time-fractional multi-asset Black-Scholes problem governing European options
Author:
Publisher
AIP Publishing
Link
http://aip.scitation.org/doi/pdf/10.1063/5.0083615
Reference24 articles.
1. Fractional diffusion models of option prices in markets with jumps
2. A new operator splitting method for American options under fractional Black–Scholes models
3. Numerical simulation for the three-dimension fractional sub-diffusion equation
4. Error Analysis of a Second-Order Method on Fitted Meshes for a Time-Fractional Diffusion Problem
5. A 2nd-order ADI finite difference method for a 2D fractional Black–Scholes equation governing European two asset option pricing
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