A compact finite difference scheme for fractional Black-Scholes option pricing model

DOI10.1016/j.apnum.2021.03.017zbMath1467.91215OpenAlexW3151491349MaRDI QIDQ2029151

Pradip Roul, V. M. K. Prasad Goura

Publication date: 3 June 2021

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2021.03.017

zbMATH Keywords

convergence analysisstability analysiscompact finite difference methodBlack-Scholes equationCaputo's derivative

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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