Bibliographic Details
| Title: |
Nonuniform Finite Difference Scheme for the Three-Dimensional Time-Fractional Black–Scholes Equation |
| Authors: |
Sangkwon Kim, Chaeyoung Lee, Wonjin Lee, Soobin Kwak, Darae Jeong, Junseok Kim |
| Source: |
Journal of Function Spaces, Vol 2021 (2021) |
| Publisher Information: |
Wiley, 2021. |
| Publication Year: |
2021 |
| Collection: |
LCC:Mathematics |
| Subject Terms: |
Mathematics, QA1-939 |
| More Details: |
In this study, we present an accurate and efficient nonuniform finite difference method for the three-dimensional (3D) time-fractional Black–Scholes (BS) equation. The operator splitting scheme is used to efficiently solve the 3D time-fractional BS equation. We use a nonuniform grid for pricing 3D options. We compute the three-asset cash-or-nothing European call option and investigate the effects of the fractional-order α in the time-fractional BS model. Numerical experiments demonstrate the efficiency and fastness of the proposed scheme. |
| Document Type: |
article |
| File Description: |
electronic resource |
| Language: |
English |
| ISSN: |
2314-8888 |
| Relation: |
https://doaj.org/toc/2314-8888 |
| DOI: |
10.1155/2021/9984473 |
| Access URL: |
https://doaj.org/article/635058e10be14b82b91f1ff712934118 |
| Accession Number: |
edsdoj.635058e10be14b82b91f1ff712934118 |
| Database: |
Directory of Open Access Journals |
