Article ID Journal Published Year Pages File Type
4958370 Computers & Mathematics with Applications 2017 10 Pages PDF
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 2−α 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)
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