$A 2nd-order FDM for a 2D fractional black-scholes equation$
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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...

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Bibliographic Details
Main Authors:	Chen, W., Wang, Song
Format:	Conference Paper
Published:	2017
Online Access:	http://hdl.handle.net/20.500.11937/55150

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