TY  - JOUR 
AU  - Mohapatra, Jugal
AU  - Santra, Sudarshan
AU  - Ramos Calle, Higinio
PY  - 2023
SN  - 0927-7099
UR  - http://hdl.handle.net/10366/156294
AB  - [EN]In this work, we study the numerical solution for time fractional Black-Scholes model under jump-diffusion involving a Caputo differential operator. For simplicity of the analysis, the model problem is converted into a time fractional partial...
LA  - eng
PB  - Springer
KW  - Black-Scholes jump-diffusion model
KW  - Caputo derivative
KW  - Adomian decomposition method
KW  - Finite difference
KW  - L1 discretization
KW  - Error analysis
TI  - Analytical and Numerical Solution for the Time Fractional Black-Scholes Model Under Jump-Diffusion.
DO  - 10.1007/s10614-023-10386-3
T2  - Computational Economics
ER  -