Theory and Modern Applications
From: A universal difference method for time-space fractional Black-Scholes equation
Time (T/month) | 3 | 6 | 9 | 12 | The stability |
---|---|---|---|---|---|
θ = 1 | 45.0580 | 45.3705 | 45.7238 | 46.1680 | stable |
θ = 2/3 | 45.2422 | 45.8177 | 46.5242 | 47.7146 | stable |
θ = 1/2 | 45.3345 | 46.0423 | 46.9278 | 48.4993 | stable |
θ = 1/3 | 45.4269 | 46.2676 | 47.3336 | 49.2917 | unstable |