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A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing.
Wen Chen
Song Wang
Published in:
Math. Comput. Simul. (2020)
Keyphrases
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option pricing
black scholes
numerical methods
financial markets
decision analysis
finite difference method
stock price
capital budgeting
fuzzy numbers
probabilistic model
black scholes model
partial differential equations
stock exchange