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"A new operator splitting method for American options under fractional ..."

Feng Chen, Zeqi Wang, Yue Yang (2019)

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DOI: 10.1016/J.CAMWA.2018.12.007

access: closed

type: Journal Article

metadata version: 2020-02-17

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Feng Chen, Zeqi Wang, Yue Yang:
A new operator splitting method for American options under fractional Black-Scholes models. Comput. Math. Appl. 77(8): 2130-2144 (2019)

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