A wavelet collocation method for fractional Black-Scholes equations by subdiffusive model (Q6590574)

In this article, a spectral method based on the fractional-order generalized Taylor wavelets (FGTW) is proposed to tackle the problem of option pricing under the fractional Black-Scholes (B-S) model. The exact expression of the Riemann-Liouville fractional integral operator (RLFIO) of the FGTW is calculated by utilizing the regularized beta function. The results of computational experiments showed that this method can effectively, and very accurately estimate the target problems. Error analysis of the proposed numerical method is studied in Section 5.