A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options

DOI10.1016/j.apnum.2019.11.004zbMath1437.91455OpenAlexW2989202487MaRDI QIDQ2301410

Pradip Roul

Publication date: 24 February 2020

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

Full work available at URL: https://doi.org/10.1016/j.apnum.2019.11.004

zbMATH Keywords

stabilityconvergence analysisCaputo derivativeRiemann-Liouville derivativequintic B-splineEuropean call optionEuropean put optiontime-fractional Black-Scholes model

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Soliton solutions (35C08) Fractional partial differential equations (35R11)

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