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
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|---|---|
| Authors: | Ghafouri, Hamideh ; Ranjbar, Mojtaba ; Khani, Ali |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 56.2020, 4, p. 695-709
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| 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