Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
type: Item
instance of: scholarly article
title: Nonuniform finite difference scheme for the three-dimensional time-fractional Black-Scholes equation
DOI: 10.1155/2021/9984473
author: Sangkwon Kim
author: Chaeyoung Lee
author: Wonjin Lee
author: Soobin Kwak
author: Darae Jeong
author: Junseok Kim
published in: Journal of Function Spaces
publication date: 2022-01-05T00:00:00Z
review text: Summary: In this study, we present an accurate and efficient nonuniform finite difference method for the three-dimensional (3D) time-fractional Black-Scholes (BS) equation. The operator splitting scheme is used to efficiently solve the 3D time-fractional BS equation. We use a nonuniform grid for pricing 3D options. We compute the three-asset cash-or-nothing European call option and investigate the effects of the fractional-order \(\alpha\) in the time-fractional BS model. Numerical experiments demonstrate the efficiency and fastness of the proposed scheme.
Mathematics Subject Classification ID: 65-XX
zbMATH DE Number: 7452511
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2021/9984473
OpenAlex ID: W4200269644
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description: scientific article; zbMATH DE number 7452511