A High-Order Numerical Method Based on a Spatial Compact Exponential Scheme for Solving the Time-Fractional Black–Scholes Model
Abstract
1. Introduction
2. Construction of the High-Order Numerical Method
3. Stability and Convergence Analysis
3.1. Stability Analysis
3.2. Convergence Analysis
4. Numerical Examples
5. Conclusions
Author Contributions
Funding
Data Availability Statement
Acknowledgments
Conflicts of Interest
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h | Error | Order | ||
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h | Error | Order | ||
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100,000 | ||||
100,000 | ||||
1/100,000 | ||||
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Huang, X.; Yu, B. A High-Order Numerical Method Based on a Spatial Compact Exponential Scheme for Solving the Time-Fractional Black–Scholes Model. Fractal Fract. 2024, 8, 465. https://doi.org/10.3390/fractalfract8080465
Huang X, Yu B. A High-Order Numerical Method Based on a Spatial Compact Exponential Scheme for Solving the Time-Fractional Black–Scholes Model. Fractal and Fractional. 2024; 8(8):465. https://doi.org/10.3390/fractalfract8080465
Chicago/Turabian StyleHuang, Xinhao, and Bo Yu. 2024. "A High-Order Numerical Method Based on a Spatial Compact Exponential Scheme for Solving the Time-Fractional Black–Scholes Model" Fractal and Fractional 8, no. 8: 465. https://doi.org/10.3390/fractalfract8080465
APA StyleHuang, X., & Yu, B. (2024). A High-Order Numerical Method Based on a Spatial Compact Exponential Scheme for Solving the Time-Fractional Black–Scholes Model. Fractal and Fractional, 8(8), 465. https://doi.org/10.3390/fractalfract8080465