Fractional Differential Calculus · Volume 9, Issue 1

Approximation of time fractional Black-Scholes equation via radial kernels and transformations

09-06 Pages 75-90 DOI 10.7153/fdc-2019-09-06

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Authors

Marjan Uddin Muhammad Taufiq

Keywords

local kernel based method Black-Scholes model contour integration quadrature rule PDEs

Subject classes

65M12 65M15 65M22