Compact difference method with contingent claim under fractional CEV model
A compact difference scheme for solving contingent claim in fractional CEV models was proposed.In time,Caputo derivative was used for discretization,and in space,fourth order compact difference scheme was used for discretization.A compact difference scheme with time order 2-αand space order 4 precision was obtained for European contingent claim.Fourier analysis and mathematical induction were used to verify the stability and convergence of the proposed method.Finally,the effectiveness of the proposed method was verified by numerical experiments.
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维普
