A 2nd-order FDM for a 2D fractional black-scholes equation
© Springer International Publishing AG 2017. We develop a finite difference method (FDM) for a 2D fractional Black-Scholes equation arising in the optimal control problem of pricing European options on two assets under two independent geometric Lévy processes. We establish the convergence of the met...
| Main Authors: | , |
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| Format: | Conference Paper |
| Published: |
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/55150 |