An efficient numerical scheme to approach the time fractional Black-Scholes model using orthogonal gegenbauer polynomials
Y. Esmaeelzade Aghdam, H. Mesgarani, A. Amin, J.F. Gómez-Aguilar
| Year of publication: |
2024
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|---|---|
| Authors: | Aghdam, Y. Esmaeelzade ; Mesgarani, H. ; Amin, A. ; Gómez-Aguilar, J. F. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 64.2024, 1, p. 211-224
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| Subject: | Convergence | Fractional Black-Scholes model | Gegenbauer polynomials | Improved approximation | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10444-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015078017