Research Article

Nonuniform Finite Difference Scheme for the Three-Dimensional Time-Fractional Black–Scholes Equation

Table 1

Three-asset cash-or-nothing option prices with varying and time step


21.530122.604622.907622.9860
21.457222.543322.854822.9358
21.468922.589422.917623.0039
21.507022.667523.015723.1082
21.549022.747923.116723.2161