A novel numerical scheme for a time fractional Black–Scholes equation
Mianfu She, Lili Li, Renxuan Tang, Dongfang Li
Topics & Concepts
DiscretizationMathematicsTheory of computationBlack–Scholes modelScheme (mathematics)Galerkin methodApplied mathematicsChebyshev polynomialsVariable (mathematics)Chebyshev filterFractional calculusMathematical optimizationMathematical analysisAlgorithmFinite element methodVolatility (finance)EconometricsThermodynamicsPhysicsFractional Differential Equations SolutionsDifferential Equations and Numerical MethodsIterative Methods for Nonlinear Equations