Numerical Method for American Option Pricing under the Time-Fractional Black–Scholes Model

Table 4

Numerical convergence order in time for varying when .

,	0.1		0.4		0.7
	20	0.9824	1.3156	1.1007	1.1946	1.2751	1.3337
40	0.9723	0.9614	0.9914	0.81	1.1301	0.9804
80	2.9	1.3846	0.958	0.8745	1.0652	1.3026
160	−1.3625	0.5859	0.941	1.0704	0.9523	1.3219