Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation

DOI10.3934/nhm.2023074MaRDI QIDQ6186162

Qian Yi, An Chen, Lijuan Nong, Jie Gu

Publication date: 2 February 2024

Published in: Networks and Heterogeneous Media (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/nhm.2023074

zbMATH Keywords

stability; error estimate; graded meshes; high-order compact difference scheme; 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

35R11: Fractional partial differential equations

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