High order finite difference schemes on non-uniform meshes for the   time-fractional Black-Scholes equation
  We construct a three-point compact finite difference scheme on a non-uniform mesh for the time-fractional Black-Scholes equation. We show that for special graded meshes used in finance, the Tavella-Randall and the quadratic meshes the numerical solution has a fourth-order accuracy in space. Numerical experiments are discussed. 
Yuri M. Dimitrov, Lubin G. Vulkov
q-fin.CP cs.CE