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Numerical solution of the time fractional Black-Scholes model governing European options.
Hongmei Zhang
Fawang Liu
Ian W. Turner
Qianqian Yang
Published in:
Comput. Math. Appl. (2016)
Keyphrases
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numerical solution
black scholes model
option pricing
partial differential equations
differential equations
finite element
black scholes
exact solution
stock price
real option
numerical methods
decision analysis
decision making
decision makers