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An efficient numerical method based on cubic B--splines for the time--fractional Black--Scholes European option pricing model | ||
| Journal of Mathematical Modeling | ||
| مقاله 2، دوره 12، شماره 3، آذر 2024، صفحه 405-417 اصل مقاله (4.43 M) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22124/jmm.2024.26551.2341 | ||
| نویسندگان | ||
| Hamed Payandehdoost Masouleh1؛ Mojgan Esmailzadeh* 2 | ||
| 1Department of Accounting, Bandaranzali Branch, Islamic Azad University, Bandaranzali, Iran | ||
| 2Department of Applied Mathematics, Bandaranzali Branch, Islamic Azad University, Bandaranzali, Iran | ||
| چکیده | ||
| In this study, we develop a precise and effective numerical approach to solve the time--fractional Black--Scholes equation, which is used to calculate European options. The method employs cubic B-spline collocation for spatial discretization and a finite difference method for time discretization. An analysis of the method's stability is conducted. Finally, two numerical examples are included to show the effectiveness and applicability of the suggested method. | ||
| کلیدواژه‌ها | ||
| Cubic B-spline؛ time-fractional؛ Black-Scholes؛ European option pricing model | ||
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آمار تعداد مشاهده مقاله: 157 تعداد دریافت فایل اصل مقاله: 264 |
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