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

• Main Authors: Ahmad H., Khan M.N., Ahmad I., Omri M., Alotaibi M.F.
• Other Authors: 57220768187
• Format: Article
• Published: American Institute of Mathematical Sciences 2024
• Subjects: hybrid local meshless method; polynomial; radial basis functions; time-fractional Black-Scholes model

The 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-fraction...