The meshless local Petrov-Galerkin based on moving kriging interpolation for solving fractional Black-Scholes model
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Author list: Phaochoo P., Luadsong A., Aschariyaphotha N.
Publisher: Elsevier
Publication year: 2016
Journal: Journal of King Saud University. Science (1018-3647)
Volume number: 28
Issue number: 1
Start page: 111
End page: 117
Number of pages: 7
ISSN: 1018-3647
eISSN: 2213-686X
Languages: English-Great Britain (EN-GB)
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Abstract
In this paper, the fractional Black-Scholes equation in financial problem is solved by using the numerical techniques for the option price of a European call or European put under the Black-Scholes model. The MLPG and implicit finite difference method are used for discretizing the governing equation in option price and time variable, respectively. In MLPG method, the shape function is constructed by a moving kriging approximation. The Dirac delta function is chosen to be the test function. The numerical examples for varieties of variables are also included. ฉ 2015 The Authors.
Keywords
Fractional Black-Scholes equation
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