Compact Difference Schemes with Temporal Uniform/Non-Uniform Meshes for Time-Fractional Black–Scholes Equation
In this paper, we are interested in the effective numerical schemes of the time-fractional Black–Scholes equation. We convert the original equation into an equivalent integral-differential equation and then discretize the time-integral term in the equivalent form using the piecewise linear interpola...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-04-01
|
| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/7/4/340 |