Theory and Modern Applications
Table 3 Maximum absolute errors for Example 5.2 with \(r=0.065\) and \(\delta =0.045\)
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 | 1.5661e−01 | 8.1330e−02 | 4.1509e−02 | 2.0978e−02 | 1.0547e−02 |
0.2 | 1.3930e−01 | 7.2084e−02 | 3.6713e−02 | 1.8533e−02 | 9.3120e−03 |
0.3 | 1.2548e−01 | 6.4751e−02 | 3.2926e−02 | 1.6607e−02 | 8.3404e−03 |
0.4 | 1.1445e−01 | 5.8938e−02 | 2.9934e−02 | 1.5088e−02 | 7.5750e−03 |
0.5 | 1.0574e−01 | 5.4365e−02 | 2.7586e−02 | 1.3898e−02 | 6.9759e−03 |
0.6 | 9.8970e−02 | 5.0832e−02 | 2.5777e−02 | 1.2983e−02 | 6.5152e−03 |
0.7 | 9.3914e−02 | 4.8203e−02 | 2.4435e−02 | 1.2304e−02 | 6.1741e−03 |
0.8 | 9.0418e−02 | 4.6397e−02 | 2.3516e−02 | 1.1840e−02 | 5.9410e−03 |
0.9 | 8.8420e−02 | 4.5378e−02 | 2.3001e−02 | 1.1581e−02 | 5.8109e−03 |
1.0 | 8.7951e−02 | 4.5161e−02 | 2.2896e−02 | 1.1530e−02 | 5.7857e−03 |