Research Article
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 |
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