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Theory and Modern Applications

Table 2 Rates of convergence 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 = 80

N = 160

N = 320

N = 640

0.1

0.98

0.99

0.99

1.00

0.2

0.98

0.99

0.99

1.00

0.3

0.98

0.99

1.00

1.00

0.4

0.98

0.99

1.00

1.00

0.5

0.98

0.99

1.00

1.00

0.6

0.99

0.99

1.00

1.00

0.7

0.99

0.99

1.00

1.00

0.8

0.99

0.99

1.00

1.00

0.9

0.99

0.99

1.00

1.00

1.0

0.99

0.99

1.00

1.00