The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method

DOI10.1155/2020/1942762zbMath1480.91319OpenAlexW3025202928WikidataQ113268371 ScholiaQ113268371MaRDI QIDQ2246515

Nitima Aschariyaphotha, Anirut Luadsong, Naravadee Nualsaard

Publication date: 16 November 2021

Published in: Advances in Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/1942762

zbMATH Keywords

stability analysisnumerical experimentsradial basis functionstemporal discretizationdiscretization of a spatial derivative processfractional Black-Scholes-Schrödinger equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical radial basis function approximation (65D12)

Cites Work

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