A high-order and fast scheme with variable time steps for the time-fractional Black-Scholes equation
A high-order and fast scheme with variable time steps for the time-fractional Black-Scholes equation
In this paper, a high-order and fast numerical method is investigated for the time-fractional Black-Scholes equation. In order to deal with the typical weak initial singularities of the solution, we construct a finite difference scheme with variable time steps, where the fractional derivative is approximated by the nonuniform Alikhanov formula …