Error and stability estimates of a time-fractional option pricing model under fully spatial–temporal graded meshes
F Soleymani, S Zhu - Journal of Computational and Applied Mathematics, 2023 - Elsevier
To price vanilla European and American options via the fractional Black–Scholes model, first
a (2− α)-order discretization scheme for the Caputo fractional derivative based upon graded …
a (2− α)-order discretization scheme for the Caputo fractional derivative based upon graded …
Error and stability estimates of a time-fractional option pricing model under fully spatial–temporal graded meshes
F Soleymani, S Zhu - 2023 - dl.acm.org
To price vanilla European and American options via the fractional Black–Scholes model, first
a (2− α)-order discretization scheme for the Caputo fractional derivative based upon graded …
a (2− α)-order discretization scheme for the Caputo fractional derivative based upon graded …
[PDF][PDF] Error and stability estimates of a time-fractional option pricing model under fully spatial–temporal graded meshes
F Soleymani, S Zhu - Journal of Computational and Applied …, 2023 - drive.google.com
abstract To price vanilla European and American options via the fractional Black–Scholes
model, first a (2− α)-order discretization scheme for the Caputo fractional derivative based …
model, first a (2− α)-order discretization scheme for the Caputo fractional derivative based …