Theory and Modern Applications
Table 1 Maximum absolute errors for Example 5.1 with \(r=0.055\) and \(\delta =0.065\)
From: A robust numerical solution to a time-fractional Black–Scholes equation
Values of α | N = 40 | N = 80 | N = 160 | N = 320 | N = 640 |
|---|---|---|---|---|---|
0.1 | 6.1152e−02 | 3.1069e−02 | 1.5659e−02 | 7.8606e−03 | 3.9381e−03 |
0.2 | 5.9707e−02 | 3.0276e−02 | 1.5245e−02 | 7.6491e−03 | 3.8312e−03 |
0.3 | 5.7925e−02 | 2.9330e−02 | 1.4758e−02 | 7.4021e−03 | 3.7069e−03 |
0.4 | 5.5896e−02 | 2.8272e−02 | 1.4218e−02 | 7.1294e−03 | 3.5698e−03 |
0.5 | 5.3692e−02 | 2.7136e−02 | 1.3641e−02 | 6.8388e−03 | 3.4240e−03 |
0.6 | 5.1370e−02 | 2.5948e−02 | 1.3040e−02 | 6.5369e−03 | 3.2726e−03 |
0.7 | 4.8978e−02 | 2.4731e−02 | 1.2427e−02 | 6.2289e−03 | 3.1183e−03 |
0.8 | 4.6552e−02 | 2.3503e−02 | 1.1809e−02 | 5.9190e−03 | 2.9631e−03 |
0.9 | 4.4121e−02 | 2.2277e−02 | 1.1194e−02 | 5.6107e−03 | 2.8088e−03 |
1.0 | 4.1705e−02 | 2.1064e−02 | 1.0586e−02 | 5.3066e−03 | 2.6567e−03 |