A spectral collocation method based on fractional Pell functions for solving time–fractional Black–Scholes option pricing model
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DOI: 10.1016/j.chaos.2022.112571
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- Ma, Pengcheng & Taghipour, Mehran & Cattani, Carlo, 2024. "Option pricing in the illiquid markets under the mixed fractional Brownian motion model," Chaos, Solitons & Fractals, Elsevier, vol. 182(C).
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Keywords
Time–fractional Black–Scholes equation; Fractional Pell functions; Spectral collocation method; Caputo fractional derivative; Sobolev space;All these keywords.
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