An efficient numerical method based on cubic B-splines for the time-fractional Black-Scholes European option pricing model

被引：1

作者：

Masouleh, Hamed Payandehdoost ^{[1
]}

Esmailzadeh, Mojgan ^{[2
]}

机构：

[1] Islamic Azad Univ, Dept Accounting, Bandaranzali Branch, Bandaranzali, Iran

[2] Islamic Azad Univ, Dept Appl Math, Bandaranzali Branch, Bandaranzali, Iran

来源：

JOURNAL OF MATHEMATICAL MODELING | 2024年 / 12卷 / 03期

关键词：

Cubic B-spline; time-fractional; Black-Scholes; European option pricing model;

D O I：

10.22124/jmm.2024.26551.2341

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this study, we develop a precise and effective numerical approach to solve the time- fractional Black-Scholes equation, which is used to calculate European options. The method employs cubic B-spline collocation for spatial discretization and a finite difference method for time discretization. An analysis of the method's stability is conducted. Finally, two numerical examples are included to show the effectiveness and applicability of the suggested method.

引用

页码：405 / 417

页数：13

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