{"id":"https://openalex.org/W4281904866","doi":"https://doi.org/10.1007/s11075-022-01314-x","title":"Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing","display_name":"Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing","publication_year":2022,"publication_date":"2022-05-31","ids":{"openalex":"https://openalex.org/W4281904866","doi":"https://doi.org/10.1007/s11075-022-01314-x"},"language":"en","primary_location":{"id":"doi:10.1007/s11075-022-01314-x","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11075-022-01314-x","pdf_url":null,"source":{"id":"https://openalex.org/S117494069","display_name":"Numerical Algorithms","issn_l":"1017-1398","issn":["1017-1398","1572-9265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Numerical Algorithms","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://ir.lzu.edu.cn/handle/262010/483186","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100402930","display_name":"Min Zhang","orcid":"https://orcid.org/0000-0002-6771-007X"},"institutions":[{"id":"https://openalex.org/I76214153","display_name":"Lanzhou University","ror":"https://ror.org/01mkqqe32","country_code":"CN","type":"education","lineage":["https://openalex.org/I76214153"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Min Zhang","raw_affiliation_strings":["School of Mathematics and Statistics, Lanzhou University, Lanzhou, 730000, People\u2019s Republic of China"],"affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, Lanzhou University, Lanzhou, 730000, People\u2019s Republic of China","institution_ids":["https://openalex.org/I76214153"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100693454","display_name":"Guofeng Zhang","orcid":"https://orcid.org/0000-0002-0796-3403"},"institutions":[{"id":"https://openalex.org/I76214153","display_name":"Lanzhou University","ror":"https://ror.org/01mkqqe32","country_code":"CN","type":"education","lineage":["https://openalex.org/I76214153"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Guo-Feng Zhang","raw_affiliation_strings":["School of Mathematics and Statistics, Lanzhou University, Lanzhou, 730000, People\u2019s Republic of China"],"affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, Lanzhou University, Lanzhou, 730000, People\u2019s Republic of China","institution_ids":["https://openalex.org/I76214153"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5100402930"],"corresponding_institution_ids":["https://openalex.org/I76214153"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":0.833,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.73754271,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"91","issue":"4","first_page":"1559","last_page":"1575"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9972000122070312,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9972000122070312,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10288","display_name":"Fractional Differential Equations Solutions","score":0.9958000183105469,"subfield":{"id":"https://openalex.org/subfields/2611","display_name":"Modeling and Simulation"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.993399977684021,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5849106311798096},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.5525201559066772},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.5509586930274963},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5244719982147217},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5171008110046387},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.46288061141967773},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4272027909755707},{"id":"https://openalex.org/keywords/finite-difference-methods-for-option-pricing","display_name":"Finite difference methods for option pricing","score":0.4172295331954956},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4149349629878998},{"id":"https://openalex.org/keywords/iterative-method","display_name":"Iterative method","score":0.4123649299144745},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3554344177246094},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.1819973587989807},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.17238575220108032},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.1510508954524994}],"concepts":[{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5849106311798096},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.5525201559066772},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.5509586930274963},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5244719982147217},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5171008110046387},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.46288061141967773},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4272027909755707},{"id":"https://openalex.org/C104859751","wikidata":"https://www.wikidata.org/wiki/Q5450390","display_name":"Finite difference methods for option pricing","level":4,"score":0.4172295331954956},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4149349629878998},{"id":"https://openalex.org/C159694833","wikidata":"https://www.wikidata.org/wiki/Q2321565","display_name":"Iterative method","level":2,"score":0.4123649299144745},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3554344177246094},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.1819973587989807},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.17238575220108032},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.1510508954524994},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s11075-022-01314-x","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11075-022-01314-x","pdf_url":null,"source":{"id":"https://openalex.org/S117494069","display_name":"Numerical Algorithms","issn_l":"1017-1398","issn":["1017-1398","1572-9265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Numerical Algorithms","raw_type":"journal-article"},{"id":"pmh:oai:/ir.lzu.edu.cn/:262010/479797","is_oa":false,"landing_page_url":"https://ir.lzu.edu.cn/handle/262010/479797","pdf_url":null,"source":{"id":"https://openalex.org/S4406923049","display_name":"Lanzhou University Institutional Repository","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"},{"id":"pmh:oai:/ir.lzu.edu.cn/:262010/483186","is_oa":true,"landing_page_url":"https://ir.lzu.edu.cn/handle/262010/483186","pdf_url":null,"source":{"id":"https://openalex.org/S4406923049","display_name":"Lanzhou University Institutional Repository","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":{"id":"pmh:oai:/ir.lzu.edu.cn/:262010/483186","is_oa":true,"landing_page_url":"https://ir.lzu.edu.cn/handle/262010/483186","pdf_url":null,"source":{"id":"https://openalex.org/S4406923049","display_name":"Lanzhou University Institutional Repository","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-sa","license_id":"https://openalex.org/licenses/cc-by-nc-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G4189905897","display_name":null,"funder_award_id":"11771193","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W648869842","https://openalex.org/W1533471646","https://openalex.org/W1972754929","https://openalex.org/W1975760144","https://openalex.org/W2107162131","https://openalex.org/W2315653911","https://openalex.org/W2606320733","https://openalex.org/W2623729930","https://openalex.org/W2739302278","https://openalex.org/W2744463887","https://openalex.org/W2787959293","https://openalex.org/W2795471203","https://openalex.org/W2990525287","https://openalex.org/W3032001790","https://openalex.org/W3082615630","https://openalex.org/W3121574170","https://openalex.org/W3125755367","https://openalex.org/W4205112682","https://openalex.org/W6600985031"],"related_works":["https://openalex.org/W4289525644","https://openalex.org/W3151491349","https://openalex.org/W1820400330","https://openalex.org/W2114986392","https://openalex.org/W4281904866","https://openalex.org/W3123609652","https://openalex.org/W2470202836","https://openalex.org/W1971954987","https://openalex.org/W4287114923","https://openalex.org/W1642594452"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
