Space-time kernel based numerical method for generalized Black-Scholes equation (Q827488)

In this paper, a numerical scheme based on local time-space radial kernels is constructed for the generalized Black-Scholes equation. The advantage of the proposed scheme is to avoid the standard time-stepping methods such as the implicit and explicit numerical schemes, which require very small step sizes to compute accurate and stable solutions. The proposed numerical scheme requires less computer time than the methods like the RK4 method because the differentiation matrix is not computed at each time step. The stability and accuracy of the proposed numerical scheme are tested for the generalized Black-Scholes equation.