A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance.
Jaspreet KaurSrinivasan NatesanPublished in: Numer. Algorithms (2023)
Keyphrases
- numerical scheme
- option pricing
- black scholes
- partial differential equations
- financial markets
- anisotropic diffusion
- stock price
- color image processing
- level set
- energy functional
- finite difference
- decision analysis
- variational methods
- numerical solution
- numerical methods
- lattice boltzmann
- real option
- fixed point
- image denoising
- computational intelligence
- curve evolution
- diffusion equation
- image processing
- stock market
- lie group
- numerical analysis
- edge detection
- active contours
- denoising
- multiresolution
- object recognition
- computational complexity
- multiscale
- deformable models