Implicit cubic B-spline quasi-interpolation for solving the generalized distributed-order time-fractional Black-Scholes equation

In this study, we implicitly solve the generalized distributed-order time-fractional Black-Scholes equation. We employ finite differences to approximate the time derivatives and cubic B-spline quasi-interpolation for the spatial derivatives. The error analysis of the presented method is investigated. The algorithm of this method is also presented, which shows the simplicity of implementing the method to solve  the generalized distributed-order time-fractional Black-Scholes equation. Numerical results demonstrate the method’s convergence rate and accuracy.

کلیدواژه ها:

Generalized distributed--order ، Fractional derivatives ، Black-Scholes equation ، B-spline quasi interpolation