High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options

DOI10.1016/j.chaos.2022.112423zbMath1506.91181MaRDI QIDQ2677413

Hossein Aminikhah, N. Abdi, Amirhossein Refahi Sheikhani

Publication date: 13 January 2023

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2022.112423

zbMATH Keywords

stability; convergence; Fourier method; Caputo fractional derivative; European option; high order compact difference schemes; time-fractional Black-Scholes equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

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Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation, A New Compact Numerical Scheme for Solving Time Fractional Mobile-Immobile Advection-Dispersion Model

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