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[02229] Efficient numerical methods for time-fractional Black-Scholes equation arising in finance

  • Session Time & Room : 2D (Aug.22, 15:30-17:10) @E702
  • Type : Contributed Talk
  • Abstract : Two numerical schemes to solve time-fractional Black-Scholes PDE governing European options. are proposed. First, fractional derivative is discretized by L1-scheme and spatial derivatives by cubic spline method on uniform mesh. Secondly, we discretize temporal variable by L1-scheme on non-uniform mesh and spatial derivatives by NIPG method on uniform mesh. Stability, convergence and numerical results are carried out. Three European options are priced as application and impact of time-fractional derivative order on option price is shown.
  • Classification : 65M06, 65M12, 65M15
  • Format : Online Talk on Zoom
  • Author(s) :
    • Jaspreet Kaur Anand (Indian Institute of Technology Guwahati, Guwahati, Assam)
    • Natesan Srinivasan (Indian Institute of Technology Guwahati, Guwahati, Assam)