A Fast Computational Scheme for Solving the Temporal-Fractional Black–Scholes Partial Differential Equation

A Fast Computational Scheme for Solving the Temporal-Fractional Black–Scholes Partial Differential Equation

In this work, we propose a fast scheme based on higher order discretizations on graded meshes for resolving the temporal-fractional partial differential equation (PDE), which benefits the memory feature of fractional calculus. To avoid excessively increasing the number of discretization points, such...

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Bibliographic Details
Main Authors: Rouhollah Ghabaei, Taher Lotfi, Malik Zaka Ullah, Stanford Shateyi
Format: Article
Language:English
Published: MDPI AG 2023-04-01
Series:Fractal and Fractional
Subjects:
high-order
fractional calculus
Black–Scholes PDE
financial derivative
non-uniform discretization
Online Access:https://www.mdpi.com/2504-3110/7/4/323

Internet

https://www.mdpi.com/2504-3110/7/4/323

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