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...

Deskribapen osoa

Xehetasun bibliografikoak

Egile Nagusiak:	Seyyed Amjad Samareh Hashemi, Habibollah Saeedi, Ali Foroush Bastani
Formatua:	Artigo
Hizkuntza:	Inglês
Argitaratua:	Shahid Bahonar University of Kerman 2024-08-01
Saila:	Journal of Mahani Mathematical Research
Gaiak:	fractional black-scholes equation chelyshkov polynomials wavelet option pricing error analysis
Sarrera elektronikoa:	https://jmmrc.uk.ac.ir/article_4304_cdf72513d234660764ee2266cdf39d59.pdf
Etiketak:	Etiketa erantsi Etiketarik gabe, Izan zaitez lehena erregistro honi etiketa jartzen!