Efficient operator splitting and spectral methods for the time-space fractional Black-Scholes equation

Almushaira, M; Chen, F; Liu, F

Liu, F (corresponding author), Huazhong Univ Sci & Technol, Sch Math & Stat, Wuhan 430074, Peoples R China.

RESULTS IN APPLIED MATHEMATICS, 2021; 10 ():

Abstract

In this paper, we aim at developing improved L1 operator splitting method and spectral method for Black-Scholes differential systems with fractional d......

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