Finite Difference/Fourier Spectral for a Time Fractional Black–Scholes Model with Option Pricing

<div>The <svg height="11.6412pt" id="M130" style="vertical-align:-0.04979992pt" version="1.1" viewbox="-0.0498162 -11.5914 12.262 11.6412" width="12.262pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M541 160L512 170C485 116 462 88 439 67C411 41 376 35 318 35C272 35 238 37 224 48C207 61 205 85 212 121L290 533C305 611 308 615 391 622L397 650H139L133 622C217 615 221 612 206 533L126 118C111 41 103 34 23 26L17 0H474C489 31 528 124 541 160Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,7.185,-5.741)"><path d="M414 144C384 79 371 75 317 75H135L276 221C367 316 408 376 408 465C408 570 327 635 237 635C179 635 131 609 100 575L42 494L67 471C94 510 138 565 205 565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g></svg> and <svg height="10.0062pt" id="M131" style="vertical-align:-0.04980946pt" version="1.1" viewbox="-0.0498162 -9.95639 17.2949 10.0062" width="17.2949pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M541 160L512 170C485 116 462 88 439 67C411 41 376 35 318 35C272 35 238 37 224 48C207 61 205 85 212 121L290 533C305 611 308 615 391 622L397 650H139L133 622C217 615 221 612 206 533L126 118C111 41 103 34 23 26L17 0H474C489 31 528 124 541 160Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,7.185,-5.741)"><path d="M1000 227C1000 351 905 451 780 451C658 451 590 380 530 279C465 385 388 451 261 451C168 451 38 376 38 210C38 98 121 -12 261 -12C381 -12 448 59 508 160C573 53 652 -12 780 -12C879 -12 1000 64 1000 227ZM485 199C434 109 370 25 271 25C188 25 133 117 133 241C133 355 189 414 249 414C357 414 426 302 485 199ZM903 204C903 70 852 25 790 25C681 25 611 136 552 240C603 330 669 414 768 414C855 414 903 321 903 204Z"></path></g></svg> errors in space direction with <span class="nowrap"><svg height="8.55521pt" id="M132" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -8.34882 37.9365 8.55521" width="37.9365pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M545 106L524 126C493 85 467 65 455 65C438 65 427 113 405 238C448 295 498 362 543 439L533 448L478 435C453 386 423 331 398 295H395C370 404 347 448 282 448C169 448 23 309 23 153C23 54 65 -12 128 -12C203 -12 283 70 339 155H341C360 29 380 -12 411 -12C444 -12 491 11 545 106ZM333 204C265 95 210 54 169 54C137 54 113 96 113 171C113 302 191 405 252 405C301 405 318 306 333 204Z"></path></g><g transform="matrix(.013,0,0,-0.013,11.017,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z"></path></g><g transform="matrix(.013,0,0,-0.013,22.28,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,28.52,0)"><path d="M113 -12C146 -12 170 11 170 46C170 78 146 103 114 103S58 78 58 46C58 11 82 -12 113 -12Z"></path></g><g transform="matrix(.013,0,0,-0.013,31.484,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z"></path></g></svg>.</span></div>

Mathematical Problems in Engineering

fig2

Figure 2

Figure 2: Finite Difference/Fourier Spectral for a Time Fractional Black–Scholes Model with Option Pricing 