High order finite difference schemes on non-uniform meshes for the time-fractional Black-Scholes equation

Yuri M. Dimitrov and Lubin G. Vulkov

Papers from arXiv.org

Abstract: We construct a three-point compact finite difference scheme on a non-uniform mesh for the time-fractional Black-Scholes equation. We show that for special graded meshes used in finance, the Tavella-Randall and the quadratic meshes the numerical solution has a fourth-order accuracy in space. Numerical experiments are discussed.

Date: 2016-04
New Economics Papers: this item is included in nep-pke
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