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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2016-01-01
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| Series: | Journal of King Saud University: Science |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1018364715000749 |
| _version_ | 1818517706277650432 |
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| author | P. Phaochoo A. Luadsong N. Aschariyaphotha |
| author_facet | P. Phaochoo A. Luadsong N. Aschariyaphotha |
| author_sort | P. Phaochoo |
| collection | DOAJ |
| description | 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 in option price and time variable, respectively. In MLPG method, the shape function is constructed by a moving kriging approximation. The Dirac delta function is chosen to be the test function. The numerical examples for varieties of variables are also included. |
| first_indexed | 2024-12-11T00:59:55Z |
| format | Article |
| id | doaj.art-4b198d1b4e994c0794160d8d6ad562a5 |
| institution | Directory Open Access Journal |
| issn | 1018-3647 |
| language | English |
| last_indexed | 2024-12-11T00:59:55Z |
| publishDate | 2016-01-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Journal of King Saud University: Science |
| spelling | doaj.art-4b198d1b4e994c0794160d8d6ad562a52022-12-22T01:26:21ZengElsevierJournal of King Saud University: Science1018-36472016-01-0128111111710.1016/j.jksus.2015.08.004The meshless local Petrov–Galerkin based on moving kriging interpolation for solving fractional Black–Scholes modelP. Phaochoo0A. Luadsong1N. Aschariyaphotha2Department of Mathematics, Faculty of Science, King Mongkut’s University of Technology Thonburi (KMUTT), 126 Pracha-utid Road, Bangmod, Toongkru, Bangkok 10140, ThailandDepartment of Mathematics, Faculty of Science, King Mongkut’s University of Technology Thonburi (KMUTT), 126 Pracha-utid Road, Bangmod, Toongkru, Bangkok 10140, ThailandRatchaburi Learning Park, King Mongkut’s University of Technology Thonburi (KMUTT), Rang Bua, Chom Bueng, Ratchaburi 70150, ThailandIn 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 in option price and time variable, respectively. In MLPG method, the shape function is constructed by a moving kriging approximation. The Dirac delta function is chosen to be the test function. The numerical examples for varieties of variables are also included.http://www.sciencedirect.com/science/article/pii/S1018364715000749European optionFractional Black–Scholes equationMLPGMoving kriging interpolation |
| spellingShingle | P. Phaochoo A. Luadsong N. Aschariyaphotha The meshless local Petrov–Galerkin based on moving kriging interpolation for solving fractional Black–Scholes model Journal of King Saud University: Science European option Fractional Black–Scholes equation MLPG Moving kriging interpolation |
| title | The meshless local Petrov–Galerkin based on moving kriging interpolation for solving fractional Black–Scholes model |
| title_full | The meshless local Petrov–Galerkin based on moving kriging interpolation for solving fractional Black–Scholes model |
| title_fullStr | The meshless local Petrov–Galerkin based on moving kriging interpolation for solving fractional Black–Scholes model |
| title_full_unstemmed | The meshless local Petrov–Galerkin based on moving kriging interpolation for solving fractional Black–Scholes model |
| title_short | The meshless local Petrov–Galerkin based on moving kriging interpolation for solving fractional Black–Scholes model |
| title_sort | meshless local petrov galerkin based on moving kriging interpolation for solving fractional black scholes model |
| topic | European option Fractional Black–Scholes equation MLPG Moving kriging interpolation |
| url | http://www.sciencedirect.com/science/article/pii/S1018364715000749 |
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