求解时间分数阶B-S模型的高阶MQ拟插值方法
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张胜良,黄俊贤
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A High Order MQ Quasi-Interpolation Method for Time Fractional Black-Scholes Model
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Shengliang Zhang,Junxian Huang
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表 1 N=1000时的空间后验误差估计
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| α | M | L2 | rate (L2) | L∞ | rate (L∞) | | 0.7 | 4 | 6.732 × 10?3 | | 7.821 × 10?3 | | | 8 | 1.587 × 10?3 | 2.09 | 1.784 × 10?3 | 2.13 | | 16 | 2.986 × 10?4 | 2.41 | 3.366 × 10?4 | 2.42 | | 32 | 3.867 × 10?5 | 2.95 | 4.586 × 10?5 | 2.87 | | 64 | 3.225 × 10?6 | 3.58 | 4.133 × 10?6 | 3.47 | | 0.3 | 4 | 6.851 × 10?3 | | 8.070 × 10?3 | | | 8 | 1.613 × 10?3 | 2.09 | 1.882 × 10?3 | 2.10 | | 16 | 3.055 × 10?4 | 2.40 | 3.541 × 10?4 | 2.41 | | 32 | 4.012 × 10?5 | 2.93 | 4.630 × 10?5 | 2.93 | | 64 | 3.396 × 10?6 | 3.56 | 3.895 × 10?6 | 3.57 |
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