Browsing Research Articles (Mathematics) by Author "Gideon, Frednard"
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An efficient numerical method for pricing double-barrier options on an underlying stock governed by a fractal stochastic process.
Nuugulu, Samuel Megameno; Patidar, Kailash C; Gideon, Frednard (MDPI, 2023)After the discovery of the fractal structures of financial markets, enormous effort has been dedicated to finding accurate and stable numerical schemes to solve fractional Black-Scholes partial differential equations. This ...