The meshless local Petrov–Galerkin based on moving kriging interpolation for solving fractional Black–Scholes model

The meshless local Petrov–Galerkin based on moving kriging interpolation for solving fractional Black–Scholes model

In this paper, the fractional Black–Scholes equation in financial problem is solved by using the numerical techniques for the option price of a European call or European put under the Black–Scholes model. The MLPG and implicit finite difference method are used for discretizing the governing equation...

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Bibliographic Details
Main Authors: P. Phaochoo, A. Luadsong, N. Aschariyaphotha
Format: Article
Language:English
Published: Elsevier 2016-01-01
Series:Journal of King Saud University: Science
Subjects:
European option
Fractional Black–Scholes equation
MLPG
Moving kriging interpolation
Online Access:http://www.sciencedirect.com/science/article/pii/S1018364715000749

Internet

http://www.sciencedirect.com/science/article/pii/S1018364715000749

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