A compact finite difference scheme for fractional Black-Scholes option pricing model
Pradip Roul, V.M.K. Prasad Goura
Topics & Concepts
DiscretizationMathematicsBlack–Scholes modelValuation of optionsFractional calculusApplied mathematicsConvergence (economics)Stability (learning theory)Finite differenceDerivative (finance)Finite difference methodOrder (exchange)Compact finite differenceMathematical optimizationFinite difference methods for option pricingMathematical analysisComputer scienceFinanceEconometricsMachine learningVolatility (finance)EconomicsEconomic growthFractional Differential Equations SolutionsStochastic processes and financial applicationsNonlinear Differential Equations Analysis