A hybrid Chelyshkov wavelet-finite differences method for time-fractional black-Scholes equation
In this paper, a hybrid method for solving time-fractional Black-Scholes equation is introduced for option pricing. The presented method is based on time and space discretization. A second order finite difference formula is used to time discretization and space discretization is done by a spectral m...
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| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Shahid Bahonar University of Kerman
2024-08-01
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| Colecção: | Journal of Mahani Mathematical Research |
| Assuntos: | |
| Acesso em linha: | https://jmmrc.uk.ac.ir/article_4304_cdf72513d234660764ee2266cdf39d59.pdf |
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