Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4958370 | Computers & Mathematics with Applications | 2017 | 10 Pages |
Abstract
The numerical solution of the time fractional Black-Scholes model (TFBSM) of order 0<α<1 governing European options is studied. Zhang et al. (2016) derived a numerical scheme of second-order in space. We improve their results by constructing a scheme of fourth-order in space while keeping 2âα in time. The solvability, stability and convergence of the proposed numerical scheme are proved using a Fourier analysis. The results are demonstrated on two examples.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
R.H. De Staelen, A.S. Hendy,