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

Gaoyongqi Pan and Shengliang Zhang
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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

International Journal of Financial Engineering (IJFE), 2023, vol. 10, issue 02, 1-12

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.

Keywords: Multiquadric quasi-interpolation; Black–Scholes model; option pricing; fractional order (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1142/S2424786323500081

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