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"A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes ..."

Wen Chen, Song Wang (2020)

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DOI: 10.1016/J.MATCOM.2019.10.016

access: closed

type: Journal Article

metadata version: 2022-08-16

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Wen Chen, Song Wang:
A 2nd-order ADI finite difference method for a 2D fractional Black-Scholes equation governing European two asset option pricing. Math. Comput. Simul. 171: 279-293 (2020)

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