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Efficient numerical method for pricing multi-asset options with the time-fractional Black-Scholes model: focus on American and digital options

Imtiaz Ahmad, Muhammad Nawaz Khan, Rashid Jan, Normy Norfiza Abdul Razak

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Source: Crossref

Published: Jan 1, 2025

DOI: 10.3934/mmc.2025011

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Efficient numerical method for pricing multi-asset options with the time-fractional Black-Scholes model: focus on American and digital options — Mathematical Frontier Network