Theory and Modern Applications
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 | 0.95 | 0.97 | 0.98 | 0.99 |
0.2 | 0.95 | 0.97 | 0.99 | 0.99 |
0.3 | 0.95 | 0.98 | 0.99 | 0.99 |
0.4 | 0.96 | 0.98 | 0.99 | 0.99 |
0.5 | 0.96 | 0.98 | 0.99 | 0.99 |
0.6 | 0.96 | 0.98 | 0.99 | 0.99 |
0.7 | 0.96 | 0.98 | 0.99 | 0.99 |
0.8 | 0.96 | 0.98 | 0.99 | 0.99 |
0.9 | 0.96 | 0.98 | 0.99 | 0.99 |
1.0 | 0.96 | 0.98 | 0.99 | 0.99 |