Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes
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Publication:6157966
DOI10.1016/j.cam.2023.115075MaRDI QIDQ6157966
Fazlollah Soleymani, Shengfeng Zhu
Publication date: 22 June 2023
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
convergence analysisoption pricingradial basis functiongraded meshmemoryCaputo fractional derivative
Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Fractional partial differential equations (35R11) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Numerical analysis (65-XX)
Related Items (2)
Application of the B-Spline Galerkin approach for approximating the time-fractional Burger's equation ⋮ Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation
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