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

被引：0
作者：
Xiurong Dai
Malik Zaka Ullah
机构：
[1] Henan Technical College of Construction,Basic Teaching Department
[2] King Abdulaziz University,Mathematical Modelling and Applied Computation (MMAC) Research Group, Department of Mathematics, Faculty of Science
来源：
Iranian Journal of Science | 2024年 / 48卷
关键词：
Fractional Black-Scholes; Option pricing; HFD; Numerical scheme; Strike price; 91B74; 35R11; 65M22;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：423 / 435
页数：12
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