A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
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Publication:2301410
DOI10.1016/J.APNUM.2019.11.004zbMATH Open1437.91455OpenAlexW2989202487MaRDI QIDQ2301410FDOQ2301410
Authors: Pradip Roul 
Publication date: 24 February 2020
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2019.11.004
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stabilityconvergence analysisCaputo derivativequintic B-splineRiemann-Liouville derivativeEuropean call optionEuropean put optiontime-fractional Black-Scholes model
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Soliton solutions (35C08) Fractional partial differential equations (35R11) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)
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