Theory and Modern Applications
From: A universal difference method for time-space fractional Black-Scholes equation
Time (T/month) | 3 | 6 | 9 | 12 | CPU time (s) |
---|---|---|---|---|---|
α = 1 | 44.9980 | 45.2358 | 45.4745 | 45.7157 | 0.45 |
α = 2/3 | 45.1751 | 45.6286 | 46.1718 | 47.1348 | 0.43 |
α = 1/2 | 45.4855 | 46.3806 | 47.6890 | 51.5890 | 0.45 |
α = 1/3 | 45.6278 | 46.8333 | 49.0078 | 59.5237 | 0.46 |