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A meshless method for numerical solutions of linear and nonlinear time-fractional Black-Scholes models

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dc.citedby33
dc.contributor.authorAhmad H.en_US
dc.contributor.authorKhan M.N.en_US
dc.contributor.authorAhmad I.en_US
dc.contributor.authorOmri M.en_US
dc.contributor.authorAlotaibi M.F.en_US
dc.contributor.authorid57220768187en_US
dc.contributor.authorid57205304990en_US
dc.contributor.authorid57220824630en_US
dc.contributor.authorid56973969500en_US
dc.contributor.authorid57194206309en_US
dc.date.accessioned2024-10-14T03:20:38Z
dc.date.available2024-10-14T03:20:38Z
dc.date.issued2023
dc.description.abstractThe numerical solution of the time-fractional Black-Scholes model for European and American options is presented using a local meshless collocation approach based on hybrid Gaussian-cubic radial basis functions with polynomials is presented. The approach is then expanded to a nonlinear time-fractional model for an option with transaction costs in a market with low liquidity. The spatial derivatives of the models are discretized using the proposed meshless technique. Numerical experiments are carried out for the American option, European option, and nonlinear transaction cost option models. In order to evaluate the effectiveness and precision of the suggested meshless approach, L? and Lrel error norms are utilized. Both call and put option volatility is explored. A non-uniform grid customized around the strike price region is also used to determine the prices of European call and American put options. The methods described in literature are compared with the numerical results. � 2023 the Author(s), licensee AIMS Press.en_US
dc.description.natureFinalen_US
dc.identifier.doi10.3934/math.20231003
dc.identifier.epage19698
dc.identifier.issue8
dc.identifier.scopus2-s2.0-85163127496
dc.identifier.spage19677
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85163127496&doi=10.3934%2fmath.20231003&partnerID=40&md5=5e094803e93b912cc0be62268838d4e5
dc.identifier.urihttps://irepository.uniten.edu.my/handle/123456789/34557
dc.identifier.volume8
dc.pagecount21
dc.publisherAmerican Institute of Mathematical Sciencesen_US
dc.relation.ispartofAll Open Access
dc.relation.ispartofGold Open Access
dc.sourceScopus
dc.sourcetitleAIMS Mathematics
dc.subjecthybrid local meshless method
dc.subjectpolynomial
dc.subjectradial basis functions
dc.subjecttime-fractional Black-Scholes model
dc.titleA meshless method for numerical solutions of linear and nonlinear time-fractional Black-Scholes modelsen_US
dc.typeArticleen_US
dspace.entity.typePublication
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