Numerical Approximation to a Variable-Order Time-Fractional Black–Scholes Model with Applications in Option Pricing
Meihui Zhang, Xiangcheng Zheng
Topics & Concepts
DiscretizationBlack–Scholes modelMathematicsFractional calculusApplied mathematicsVariable (mathematics)Valuation of optionsMonotonic functionOperator (biology)Order (exchange)Stability (learning theory)Convergence (economics)Numerical analysisMathematical optimizationMathematical analysisComputer scienceFinanceEconometricsEconomicsChemistryBiochemistryGeneMachine learningEconomic growthVolatility (finance)Transcription factorRepressorFractional Differential Equations SolutionsDifferential Equations and Numerical MethodsNonlinear Differential Equations Analysis