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

Table 1

Temporal convergence orders of various time steps for Example 1.

	= 1/200	= 1/400	= 1/800	= 1/1600	= 1/3200
	1.8166	1.8263	1.8345	1.8415	1.8475
	1.6680	1.6746	1.6797	1.6837	1.6869
	1.4892	1.4925	1.4947	1.4963	1.4974
	1.3939	1.3960	1.3974	1.3983	1.3989
	1.2964	1.2979	1.2987	1.2992	1.2995
	1.0980	1.0990	1.0995	1.0997	1.0999