A Fast Computational Scheme for Solving the Temporal-Fractional Black–Scholes Partial Differential Equation
A Fast Computational Scheme for Solving the Temporal-Fractional Black–Scholes Partial Differential Equation
In this work, we propose a fast scheme based on higher order discretizations on graded meshes for resolving the temporal-fractional partial differential equation (PDE), which benefits the memory feature of fractional calculus. To avoid excessively increasing the number of discretization points, such as the standard finite difference or meshfree methods, …