Investigation of Higher Order Localized Approximations for a Fractional Pricing Model in Finance

In this work, by considering spatial uniform meshes and stencils having five adjacent discretization nodes, we furnish a numerical scheme to solve the time-fractional Black–Scholes (partial differential equation) PDE to price financial options under the generalized multiquadric radial basis function...

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Principais autores:	Malik Zaka Ullah, Abdullah Khamis Alzahrani, Hashim Mohammed Alshehri, Stanford Shateyi
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2023-06-01
coleção:	Mathematics
Assuntos:	option pricing fractional Black–Scholes radial basis function (RBF) RBF-FD numerical method
Acesso em linha:	https://www.mdpi.com/2227-7390/11/12/2641
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