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A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance.
Jaspreet Kaur
Srinivasan Natesan
Published in:
Numer. Algorithms (2023)
Keyphrases
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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