A universal difference method for time-space fractional Black-Scholes equation

被引：16
|
作者：
Yang Xiaozhong [1 ]
Wu Lifei [1 ]
Sun Shuzhen [1 ]
Zhang Xue [1 ]
机构：
[1] North China Elect Power Univ, Sch Math & Phys, Beijing 102206, Peoples R China
来源：
ADVANCES IN DIFFERENCE EQUATIONS | 2016年
基金：
美国国家科学基金会;
关键词：
time-space fractional Black-Scholes equation; universal difference method; stability; convergence; numerical experiments; STABILITY; MODEL;
D O I：
10.1186/s13662-016-0792-8
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The fractional Black-Scholes (B-S) equation is an important mathematical model in finance engineering, and the study of its numerical methods has very significant practical applications. This paper constructs a new kind of universal difference method to solve the time-space fractional B-S equation. The universal difference method is analyzed to be stable, convergent, and uniquely solvable. Furthermore, it is proved that with numerical experiments the universal difference method is valid and efficient for solving the time-space fractional B-S equation. At the same time, numerical experiments indicate that the time-space fractional B-S equation is more consistent with the actual financial market.
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收藏
页数：14
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