Theory and Modern Applications
From: A universal difference method for time-space fractional Black-Scholes equation
Time (T/month) | 3 | 6 | 9 | 12 | The stability |
---|---|---|---|---|---|
θ = 1 | 45.0578 | 45.3698 | 45.7219 | 46.2439 | stable |
θ = 2/3 | 45.2641 | 45.8436 | 46.5591 | 47.9096 | stable |
θ = 1/2 | 45.3675 | 46.0816 | 46.9812 | 48.7626 | stable |
θ = 1/3 | 45.4709 | 46.3204 | 47.4058 | 49.6250 | stable |