The use of partial fractional form of A-stable Padé schemes for the solution of fractional diffusion equation with application in option pricing
H. Ghafouri, M. Ranjbar, A. Khani
| Year of publication: |
2020
|
|---|---|
| Authors: | Ghafouri, Hamideh ; Ranjbar, Mojtaba ; Khani, Ali |
| Subject: | Fractional diffusion equation | Padé approximation | A-stable method | Riesz equation | Option pricing | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09927-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012390443