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

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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Z. Avazzadeh

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J. 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

Publication

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cites work

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

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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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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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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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Radial Basis Functions

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

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

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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 Publication:6551473