The Black–Scholes (B–S) equation has been recently extended as a kind of tempered time-
fractional B–S equations, which becomes an interesting mathematical model in option …

In this paper, we consider an approximation of the Caputo fractional derivative and its
asymptotic expansion formula, whose generating function is the polylogarithm function. We …

This paper deals with the formulation of the tridiagonal compact difference schemes for
derivatives up to second‐order with boundary stencils on non‐uniform grids. A compact …

In this work we consider time-fractional generalization of Black–Scholes equation, where
assets follow a multidimensional geometric Brownian motion dynamics. The discretization of …

Physical systems of interest often exhibit complexity stemming from the interaction of various
processes operating at different temporal and spatial scales, resulting in stiff systems of …

The purpose of this paper is to present a numerical scheme for solving time-fractional partial
differential equation based on cubic B-spline quasi-interpolation. For this purpose, first we …