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

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scientific article; zbMATH DE number 7695259
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Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials
scientific article; zbMATH DE number 7695259

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    Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials (English)
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    13 June 2023
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    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.
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    time fractional Black-Scholes model
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    square interpolation
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    Legendre polynomials
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    collocation method
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    convergence
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    stability
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