Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials (Q6156280): Difference between revisions

The authors analysis deals with the solution of time fractional Black-Scholes European option pricing equation arising in financial market. The presented accurate numerical method for approaching fractional derivatives is derived from the following manners: at first, the semi-discrete is constructed in the temporal sense based on a quadratic interpolation with accuracy order \(\tau ^{3-\beta}\) and secondly the unconditional stability and convergence order are analyzed. The accuracy and efficiency of the proposed approach are shown by several numerical results.