A compact finite difference scheme for solving fractional Black-Scholes option pricing model

A compact finite difference scheme for solving fractional Black-Scholes option pricing model

Abstract In this work, we introduce an efficient compact finite difference (CFD) method for solving the time-fractional Black-Scholes (TFBS) option pricing model. The time-fractional derivative is described using Caputo-Fabrizio (C-F) fractional derivative, and a compact finite difference method is...

Full description

Saved in:
Bibliographic Details
Main Authors: Yuelong Feng, Xindong Zhang, Yan Chen, Leilei Wei
Format: Article
Language:English
Published: SpringerOpen 2025-03-01
Series:Journal of Inequalities and Applications
Subjects:
Black-Scholes model
Caputo-Fabrizio fractional derivative
Compact finite difference method
Stability
Error estimate
Online Access:https://doi.org/10.1186/s13660-025-03261-2
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

https://doi.org/10.1186/s13660-025-03261-2

Similar Items