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

DOI10.1002/MMA.7968MaRDI QIDQ6551473zbMATH OpenFDO

Authors Omid Nikan, Zakieh Avazzadeh, José A. Tenreiro Machado

Publication date 7 June 2024

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/MMA.7968

zbMATH Keywords

Black-Scholes modelfinite difference weightsfractional derivativeslocal meshless methodradial basis function

Mathematics Subject Classification ID

Numerical methods for initial value problems involving ordinary differential equations (65L05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(11)

• Editorial of the special issue on modelling, analysis, and applications
• Simultaneous identification of fractional order and time-dependent source term of a time-fractional Black-Scholes equation
• Numerical schemes for signature kernels
• Numerical pricing of European options under time-fractional Black-Scholes equation in financial markets
• On Galerkin spectral element method for solving Riesz fractional diffusion equation based on Legendre polynomials
• Solving multi-dimensional fractional Black-Scholes model using deep learning
• Optimal calculations for the space-time fractional derivative option pricing models with stochastic liquidity risk and volatility using a combination neural network
• An adaptive mesh based computational approach to the option price and their greeks in time fractional Black-Scholes framework
• Computational analysis of a WG-finite element method for solving a time-fractional diffusion-convection equation
• An improvement meshless method for the numerical solution of two-dimensional stochastic Fredholm integral equations
• A physics informed neural network approach for solving time fractional Black-Scholes partial differential equations

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