A meshless method for numerical solutions of linear and nonlinear time-fractional Black-Scholes models

A meshless method for numerical solutions of linear and nonlinear time-fractional Black-Scholes models

The numerical solution of the time-fractional Black-Scholes model for European and American options is presented using a local meshless collocation approach based on hybrid Gaussian-cubic radial basis functions with polynomials is presented. The approach is then expanded to a nonlinear time-fraction...

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Bibliographic Details
Main Authors: Hijaz Ahmad, Muhammad Nawaz Khan, Imtiaz Ahmad, Mohamed Omri, Maged F. Alotaibi
Format: Article
Language:English
Published: AIMS Press 2023-06-01
Series:AIMS Mathematics
Subjects:
time-fractional black-scholes model
hybrid local meshless method
radial basis functions
polynomial
Online Access:https://www.aimspress.com/article/doi/10.3934/math.20231003?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.20231003?viewType=HTML

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