High-order compact finite difference schemes for the time-fractional Black-Scholes model governing European options
N. Abdi, Hossein Aminikhah, A. H. Refahi Sheikhani
Topics & Concepts
MathematicsBlack–Scholes modelFractional calculusOrder (exchange)Applied mathematicsQuadratic equationTransformation (genetics)PolynomialFinite differenceConvergence (economics)Exponential functionMathematical analysisFinanceEconomicsEconomic growthGeometryEconometricsChemistryBiochemistryVolatility (finance)GeneFractional Differential Equations SolutionsStochastic processes and financial applicationsDifferential Equations and Numerical Methods