IDEAS home Printed from https://ideas.repec.org/a/wsi/ijfexx/v10y2023i02ns2424786323500081.html
   My bibliography  Save this article

A meshless multiquadric quasi-interpolation method for time fractional Black–Scholes model

Author

Listed:
  • Gaoyongqi Pan

    (��University of Rochester, College of A&S, Rochester City, United States)

  • Shengliang Zhang

    (��College of Economics and Management, Nanjing Forestry University, Nanjing, P. R. China)

Abstract

Based on multiquadric quasi-interpolation, this study presents a meshless numerical method for time fractional Black–Scholes (B–S) model. The method is highly accurate and flexible. The stability and convergence of the proposed scheme are discussed in detail. Numerical results show the accuracy and efficiency of the proposed method.

Suggested Citation

  • Gaoyongqi Pan & Shengliang Zhang, 2023. "A meshless multiquadric quasi-interpolation method for time fractional Black–Scholes model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-12, June.
    • Handle: RePEc:wsi:ijfexx:v:10:y:2023:i:02:n:s2424786323500081
    DOI: 10.1142/S2424786323500081
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S2424786323500081
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S2424786323500081?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijfexx:v:10:y:2023:i:02:n:s2424786323500081. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/worldscinet/ijfe .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.