A robust numerical solution to a time-fractional Black–Scholes equation

A robust numerical solution to a time-fractional Black–Scholes equation

Abstract Dividend paying European stock options are modeled using a time-fractional Black–Scholes (tfBS) partial differential equation (PDE). The underlying fractional stochastic dynamics explored in this work are appropriate for capturing market fluctuations in which random fractional white noise h...

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Bibliographic Details
Main Authors: S. M. Nuugulu, F. Gideon, K. C. Patidar
Format: Article
Language:English
Published: SpringerOpen 2021-02-01
Series:Advances in Difference Equations
Subjects:
Option pricing
Time-fractional Black–Scholes equations
Finite difference methods
Convergence and stability analysis
Online Access:https://doi.org/10.1186/s13662-021-03259-2

Internet

https://doi.org/10.1186/s13662-021-03259-2

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