"Solving Parametric Fractional Differential Equations Arising from the ..."

Maryam Vahid Dastgerdi, Ali Foroush Bastani (2020)

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DOI: 10.1137/19M1269324

access: closed

type: Journal Article

metadata version: 2021-01-08

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Maryam Vahid Dastgerdi, Ali Foroush Bastani:
Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation. SIAM J. Financial Math. 11(4): 1063-1097 (2020)

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