2017•Computational EconomicsRequires access

A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing

Robab Kalantari, S. Shahmorad

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Key concepts: Finite difference methods for option pricing, Black–Scholes model, Mathematics, Valuation of options, Finite difference method, Put option, Applied mathematics, Finite difference

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A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing — Research Paper | ScholarLens