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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Gaoyongqi Pan & Shengliang Zhang, 2023. "A meshless multiquadric quasi-interpolation method for time fractional Black–Scholes model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-12, June.
  • Handle: RePEc:wsi:ijfexx:v:10:y:2023:i:02:n:s2424786323500081
    DOI: 10.1142/S2424786323500081
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