Numerical solution of fractional Black‐Scholes model of American put option pricing via a nonstandard finite difference method: Stability and convergent analysis

Numerical methods (including Monte Carlo methods) (91G60) 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) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Fractional partial differential equations (35R11)

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