A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
Jaspreet Kaur, Srinivasan Natesan
Topics & Concepts
MathematicsDiscretizationBlack–Scholes modelFractional calculusTheory of computationPartial differential equationValuation of optionsNumerical analysisFractional programmingApplied mathematicsMathematical optimizationMathematical analysisAlgorithmNonlinear systemVolatility (finance)Nonlinear programmingEconometricsPhysicsQuantum mechanicsFractional Differential Equations SolutionsDifferential Equations and Numerical MethodsStochastic processes and financial applications