A weighted finite difference method for American and Barrier options in subdiffusive Black-Scholes Model.

Grzegorz Krzyzanowski Marcin Magdziarz

Published in: CoRR (2020)

Keyphrases

black scholes model
finite difference method
option pricing
partial differential equations
numerical methods
black scholes
stock price
finite element model
heat equation
decision analysis
finite element method
image denoising
real option