An Efficient Higher-Order Numerical Scheme for Solving Fractional Black-Scholes PDE Using Analytical Weights

被引：2

作者：

Dai, Xiurong ^{[1
]}

Ullah, Malik Zaka ^{[2
]}

机构：

[1] Zhengzhou Tech Coll, Basic Teaching Dept, Zhengzhou 450121, Henan, Peoples R China

[2] King Abdulaziz Univ, Fac Sci, Dept Math, Math Modelling & Appl Computat Res Grp MMAC, Jeddah 21589, Saudi Arabia

来源：

IRANIAN JOURNAL OF SCIENCE | 2024年 / 48卷 / 02期

关键词：

Fractional Black-Scholes; Option pricing; HFD; Numerical scheme; Strike price;

D O I：

10.1007/s40995-024-01588-x

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

This paper presents an efficient numerical approach employing RBF-HFD to tackle fractional option pricing. This scheme as an extension of the RBF-FD technique, offers solutions for partial differential equations (PDEs) via higher order formulas. In this work, we focus on computing analytical weights and to use them in our numerical method directly. The suggested approximations are customized using the multiquadric RBF and three-point uniform stencils for spatial discretization. Numerical results are provided to validate the underlying theory.

引用

页码：423 / 435

页数：13

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