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Theory and Modern Applications

Table 1 The price of a European call option ( \(\pmb{\alpha=5/7}\) , \(\pmb{M=200}\) , \(\pmb{N=40}\) )

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