National Institute of Technology Rourkela

राष्ट्रीय प्रौद्योगिकी संस्थान राउरकेला

ଜାତୀୟ ପ୍ରଯୁକ୍ତି ପ୍ରତିଷ୍ଠାନ ରାଉରକେଲା

An Institute of National Importance

Seminar Details

Seminar Title:
An Efficient Numerical Solution to a Time-fractional Black-Scholes Equation
Seminar Type:
Progress Seminar
Department:
Mathematics
Speaker Name:
Santoshi Tarei ( Rollno : 522ma1001)
Speaker Type:
Student
Venue:
Seminar Room (Department of Mathematics)
Date and Time:
30 Sep 2024 11:00
Contact:
Dr. Ankur Kanaujiya
Abstract:

This report presents two compact finite difference schemes and a collocation method on uniform mesh for solving the fractional Black-Scholes partial differential equation for the European type option. The time-fractional derivative is approximated by the $L1-2$ formula and the $L2-1_{\sigma }$ formula respectively, and two compact difference schemes with orders $O((\Delta t)^{3-\alpha} +(\Delta x)^4)$ and $O((\Delta t)^2 + (\Delta x)^4)$ are constructed. Also, we develop a new scheme by using the $L1-2$ formula to approximate the time-fractional derivative and the Laguerre polynomial to approximate the spatial derivatives. The stability and convergence analysis of all the schemes is also analyzed. Finally, numerical examples are carried out to verify the accuracy and effectiveness of all the schemes, and these schemes are compared.