A Novel Fourth-Order Finite Difference Scheme for European Option Pricing in the Time-Fractional Black–Scholes Model
This paper addresses the valuation of European options, which involves the complex and unpredictable dynamics of fractal market fluctuations. These are modeled using the <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics>...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-10-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/12/21/3343 |
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