Theory and Modern Applications
From: A universal difference method for time-space fractional Black-Scholes equation
Time (T/month) | 3 | 6 | 9 | 12 | CPU time (s) |
---|---|---|---|---|---|
α = 1 | 44.9940 | 45.2318 | 45.4705 | 45.7114 | 0.33 |
α = 2/3 | 45.3411 | 46.0406 | 46.9641 | 49.0869 | 0.42 |
α = 1/2 | 45.2673 | 45.9415 | 47.0145 | 51.3765 | 0.40 |
α = 1/3 | 45.1913 | 45.8369 | 47.1096 | 55.8129 | 0.37 |