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

详细信息    查看全文

• 作者：Yang Xiaozhong ; Wu Lifei ; Sun Shuzhen ; Zhang Xue
• 关键词：time ; space fractional Black ; Scholes equation ; universal difference method ; stability ; convergence ; numerical experiments
• 刊名：Advances in Difference Equations
• 出版年：2016
• 出版时间：December 2016
• 年：2016
• 卷：2016
• 期：1
• 全文大小：2,113 KB
• 刊物主题：Difference and Functional Equations; Mathematics, general; Analysis; Functional Analysis; Ordinary Differential Equations; Partial Differential Equations;
• 出版者：Springer International Publishing
• ISSN：1687-1847

文摘

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.