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- W4312936701 abstract "A modified Black-Scholes (B-S) model with time fractional derivative is studied when the price change of the underlying is considered as a fractal transmission system. It is very practical in application to study the numerical computation of this time fractional B-S model (TFBSM) governing European options. This paper constructs mixed alternative segment Crank-Nicolson (MASC-N) parallel difference scheme, which accuracy is spatially 2 order and temporally 2-α order. In addition, we have provided a theoretical proof for the stability and convergence of the MASC-N scheme, and demonstrated the accuracy and effectiveness of the proposed method through numerical experiments. The numerical results show that the MASC-N scheme is easy to implement when applied to time fractional B-S model." @default.
- W4312936701 created "2023-01-05" @default.
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- W4312936701 date "2022-01-01" @default.
- W4312936701 modified "2023-10-14" @default.
- W4312936701 title "A New Parallel Difference Method for Solving Time Fractional Black-Scholes Model" @default.
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- W4312936701 doi "https://doi.org/10.4236/jmf.2022.124036" @default.
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