The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method
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Publication:2246515
DOI10.1155/2020/1942762zbMath1480.91319WikidataQ113268371 ScholiaQ113268371MaRDI QIDQ2246515
Nitima Aschariyaphotha, Anirut Luadsong, Naravadee Nualsaard
Publication date: 16 November 2021
Published in: Advances in Mathematical Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/1942762
stability analysis; numerical experiments; radial basis functions; temporal discretization; discretization of a spatial derivative process; fractional Black-Scholes-Schrödinger equation
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
65D12: Numerical radial basis function approximation
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