High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation.
Yuri M. DimitrovLubin G. VulkovPublished in: CoRR (2016)
Keyphrases
- high order
- finite difference
- partial differential equations
- black scholes
- numerical methods
- semi implicit
- numerical scheme
- lower order
- numerical solution
- hamilton jacobi
- higher order
- option pricing
- finite element
- numerical analysis
- anisotropic diffusion
- differential equations
- fourth order
- multiresolution
- pairwise
- level set
- energy functional
- diffusion equation
- markov random field
- fuzzy numbers
- multiscale
- stock exchange
- feature extraction
- curve evolution
- real option
- machine learning
- covariance matrix