Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing

Guo-Feng Zhang, Min Zhang

https://doi.org/10.1007/s11075-022-01314-x

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Journal: Numerical Algorithms	Publication Date: May 31, 2022
Citations: 2

Abstract

Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing

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