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 2 M=100时的时间方向后验误差估计
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| α | N | L2 | rate (L2) | L∞ | rate (L∞) | | 0.7 | 10 | 3.124 × 10?3 | | 4.301 × 10?3 | | | 20 | 1.351 × 10?3 | 1.27 | 1.847 × 10?3 | 1.22 | | 40 | 5.240 × 10?4 | 1.28 | 7.403 × 10?4 | 1.31 | | 80 | 2.142 × 10?4 | 1.32 | 2.854 × 10?4 | 1.37 | | 160 | 8.096 × 10?5 | 1.33 | 1.009 × 10?4 | 1.48 | | 0.3 | 10 | 3.670 × 10?3 | | 4.984 × 10?3 | | | 20 | 1.142 × 10?3 | 1.68 | 1.583 × 10?3 | 1.66 | | 40 | 3.560 × 10?4 | 1.69 | 4.871 × 10?4 | 1.69 | | 80 | 1.084 × 10?4 | 1.71 | 1.494 × 10?4 | 1.71 | | 160 | 3.330 × 10?5 | 1.74 | 4.447 × 10?5 | 1.74 |
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