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

DOI10.3934/DCDSS.2020221MaRDI QIDQ827488zbMATHOpenAlexWikidataFDO

Authors Marjan Uddin, Hazrat Ali

Publication date 12 January 2021

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdss.2020221

zbMATH Keywords

meshless methodBlack-Scholes equationradial kernelsspace-time numerical scheme

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for sparse matrices (65F50) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites work

• scientific article; zbMATH DE number 2001584 (Why is no real title available?)
• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
• A space-time meshfree collocation method for coupled problems on irregularly-shaped domains
• Boundary element methods
• Global space -- time multiquadric method for inverse heat conduction problem
• Kernel-based approximation methods using MATLAB
• Meshfree approximation methods with Matlab. With CD-ROM.
• Numerical solution of the time fractional Black-Scholes model governing European options
• On choosing ``optimal shape parameters for RBF approximation
• Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
• Space-time discontinuous Galerkin finite element method for shallow water flows
• Space-time discontinuous Galerkin method for advection-diffusion problems on time-dependent domains
• Space-time discontinuous Galerkin method for the compressible Navier--Stokes equations
• Space-time finite element techniques for computation of fluid-structure interactions
• Space-time localized radial basis function collocation method for solving parabolic and hyperbolic equations
• Spectral Methods
• The finite volume method in computational fluid dynamics. An advanced introduction with OpenFOAM and Matlab
• The localized RBFs collocation methods for solving high dimensional PDEs
• The space-time kernel-based numerical method for Burgers' equations
• Time-dependent fundamental solutions for homogeneous diffusion problems

Cited in

(7)

• Numerical solution of generalized Black-Scholes model
• Approximation of time fractional Black-Scholes equation via radial kernels and transformations
• Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
• An accurate solution for the generalized Black-Scholes equations governing option pricing
• A kernel-based algorithm for numerical solution of nonlinear PDEs in finance
• Analysis of a kernel-based method for some pricing financial options
• Generalized Jacobi reproducing kernel method in Hilbert spaces for solving the Black-Scholes option pricing problem arising in financial modelling

Describes a project that uses

Uses Software

• Matlab
• GaussQR

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