Approximation of time fractional Black-Scholes equation via radial kernels and transformations
نویسندگان
چکیده
منابع مشابه
Numerical Solution of Fractional Black Scholes Equation Based on Radial Basis Functions Method
Options pricing have an important role in risk control and risk management. Pricing discussion requires modelling process, solving methods and implementing the model by real data in a given market. In this paper we show a model for underlying asset based on fractional stochastic models which is a particular type of behavior of stochastic assets changing. In addition a numerical method based on ...
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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. Introduction The Black-Scholes-Merton model for option prices is an ...
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ژورنال
عنوان ژورنال: Fractional Differential Calculus
سال: 2019
ISSN: 1847-9677
DOI: 10.7153/fdc-2019-09-06