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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English | 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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