Pricing of the geometric Asian options under a multifactor stochastic volatility model

@article{Malhotra2019PricingOT,
  title={Pricing of the geometric Asian options under a multifactor stochastic volatility model},
  author={Gifty Malhotra and R. Srivastava and H. C. Taneja},
  journal={J. Comput. Appl. Math.},
  year={2019},
  volume={406},
  pages={113986}
}
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A tempered subdiffusive Black-Scholes model

The main part of this work consists of the finite difference (FD) method as a numerical approach to the option pricing in the considered model and derives the governing fractional differential equation and the related weighted numerical scheme.

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