Localized kernel-based meshless method for pricing financial options underlying fractal transmission system (Q6551473)

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Localized kernel-based meshless method for pricing financial options underlying fractal transmission system

scientific article; zbMATH DE number 7861195

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English	Localized kernel-based meshless method for pricing financial options underlying fractal transmission system	scientific article; zbMATH DE number 7861195

Statements

instance of

scholarly article

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title

Localized kernel-based meshless method for pricing financial options underlying fractal transmission system (English)

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author

Omid Nikan

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Zakieh Avazzadeh

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José A. Tenreiro Machado

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published in

Mathematical Methods in the Applied Sciences

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publication date

7 June 2024

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zbMATH Keywords

Black-Scholes model

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finite difference weights

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fractional derivatives

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local meshless method

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radial basis function

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MaRDI profile type

MaRDI publication profile

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cites work

The pricing of options and corporate liabilities

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Q4905685

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Q5699297

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Fractals and fractional calculus in continuum mechanics

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Q4438488

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Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative

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Q5014971

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Derivatives pricing with marked point processes using tick-by-tick data

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Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market

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Solution of the fractional Black-Scholes option pricing model by finite difference method

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A penalty method for a fractional order parabolic variational inequality governing American put option valuation

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Fractional order stochastic differential equation with application in European option pricing

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A predictor-corrector approach for pricing American options under the finite moment log-stable model

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Numerical methods for pricing American options with time-fractional PDE models

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Numerical solution of time-fractional Black-Scholes equation

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Analytically pricing double barrier options based on a time-fractional Black-Scholes equation

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Numerical solution of the time fractional Black-Scholes model governing European options

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Numerically pricing double barrier options in a time-fractional Black-Scholes model

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A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options

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Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation

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Fractional model and solution for the Black-Scholes equation

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Numerical solution of fractional Black-Scholes model of American put option pricing via a nonstandard finite difference method: stability and convergent analysis

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A compact quadratic spline collocation method for the time-fractional Black-Scholes model

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A novel numerical scheme for a time fractional Black-Scholes equation

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On the solution of two-dimensional fractional Black-Scholes equation for European put option

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Stability and convergence of the difference methods for the space-time fractional advection-diffusion equation

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Semi-implicit Galerkin-Legendre spectral schemes for nonlinear time-space fractional diffusion-reaction equations with smooth and nonsmooth solutions

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Combined Galerkin spectral/finite difference method over graded meshes for the generalized nonlinear fractional Schrödinger equation

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Global consistency analysis of L1-Galerkin spectral schemes for coupled nonlinear space-time fractional Schrödinger equations

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A fully discrete difference scheme for a diffusion-wave system

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Radial Basis Functions

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Classroom Note:Calculation of Weights in Finite Difference Formulas

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On using radial basis functions in a ``finite difference mode'' with applications to elasticity problems

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Local radial basis function-based differential quadrature method and its application to solve two-dimensional incompressible Navier--Stokes equations

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Scattered node compact finite difference-type formulas generated from radial basis functions

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Meshfree approximation methods with Matlab. With CD-ROM.

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Numerical investigation of fractional nonlinear sine-Gordon and Klein-Gordon models arising in relativistic quantum mechanics

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Error estimates of local multiquadric-based differential quadrature (LMQDQ) method through numerical experiments

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An efficient local meshless method for the equal width equation in fluid mechanics

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The impact of LRBF-FD on the solutions of the nonlinear regularized long wave equation

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RBF-FD formulas and convergence properties

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Identifiers

zbMATH Open document ID

1543.91107

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Localized kernel-based meshless method for pricing financial options underlying fractal transmission system