Two high-order compact difference schemes with temporal graded meshes for time-fractional Black-Scholes equation
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Publication:6186162
DOI10.3934/nhm.2023074OpenAlexW4387586405MaRDI 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
stabilityerror estimategraded mesheshigh-order compact difference schemetime-fractional Black-Scholes equation
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Fractional partial differential equations (35R11)
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