23 citations · 23 across the 2 of their papers we have counts for
2 papers
math.NA2021
A tempered subdiffusive Black-Scholes model
Grzegorz Krzyżanowski, Marcin Magdziarz
In this paper, we focus on the tempered subdiffusive Black-Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option p…
cs.CE2019★ 23 cited
A weighted finite difference method for subdiffusive Black Scholes Model
Grzegorz Krzyżanowski, Marcin Magdziarz, Łukasz Płociniczak
In this paper we focus on the subdiffusive Black Scholes model. The main part of our work consists of the finite difference method as a numerical approach to the option pricing in…