A class of intrinsic parallel difference methods for time-space fractional Black–Scholes equation

A class of intrinsic parallel difference methods for time-space fractional Black–Scholes equation

Abstract To quickly solve the fractional Black–Scholes (B–S) equation in the option pricing problems, in this paper, we construct pure alternative segment explicit–implicit (PASE-I) and pure alternative segment implicit–explicit (PASI-E) difference schemes for time-space fractional B–S equation. It...

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Bibliographic Details
Main Authors: Yue Li, Xiaozhong Yang, Shuzhen Sun
Format: Article
Language:English
Published: SpringerOpen 2018-08-01
Series:Advances in Difference Equations
Subjects:
Time-space fractional Black–Scholes (B–S) equation
Intrinsic parallel difference methods
Unconditional stability
Convergence
Parallel computing
Online Access:http://link.springer.com/article/10.1186/s13662-018-1736-2

Internet

http://link.springer.com/article/10.1186/s13662-018-1736-2

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