In this study, we present an accurate and efficient nonuniform finite difference method for the three-dimensional (3D) time-fractional Black-Scholes (BS) equation. The operator splitting scheme is used to efficiently solve the 3D time-fractional BS equation. We use a nonuniform grid for pricing 3D options. We compute the three-asset cash-or-nothing European call option and investigate the effects of the fractional-order α in the time-fractional BS model. Numerical experiments demonstrate the efficiency and fastness of the proposed scheme.
|Journal||Journal of Function Spaces|
|Publication status||Published - 2021|
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