Parameter estimation for time-fractional Black-Scholes equation with S &P 500 index option - An, Xingyu; Wang, Qingxia (Jenny); Liu, Fawang; Anh, Vo V.; Turner, Ian W. (Numerical algorithms, 2024)
Keywords: Algebra; Algorithms; Computer Science; Numeric Computing; Numerical Analysis; Original Paper; Theory of Computation; Parameter estimation; Time-fractional Black-Scholes; Option pricing; Empirical studies