A spectral collocation method based on fractional Pell functions for solving time–fractional Black–Scholes option pricing model

M. Taghipour and H. Aminikhah

Chaos, Solitons & Fractals, 2022, vol. 163, issue C

Abstract: The fractional Black–Scholes equation has been widely studied by researchers in recent years. In this article, an efficient spectral collocation method based on fractional Pell functions is proposed for solving the time–fractional Black–Scholes equation. We introduce fractional Pell functions using the transformation x→xβ(β>0) on Pell polynomials, and we look for a solution of the model as a linear combination of these functions. Using operational matrices, we approximate the fractional derivative and other terms in a convenient form of the main equation. A system of algebraic equations is obtained by collocating resultant approximate equations. Convergence analysis of the numerical method has been investigated in Sobolev space. Finally, we have demonstrated the capability of the proposed method by considering numerical experiments in the form of tables and figures.

Keywords: Time–fractional Black–Scholes equation; Fractional Pell functions; Spectral collocation method; Caputo fractional derivative; Sobolev space (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:163:y:2022:i:c:s0960077922007627

DOI: 10.1016/j.chaos.2022.112571

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