Title of article
Analysis of a kernel-based method for some pricing financial options
Author/Authors
Ahmadi Balootaki ، Parisa Department of Mathematics - Islamic Azad University, Isfahan (Khorasgan) Branch , Khoshsiar Ghaziani ، Reza Department of Mathematics - Faculty of Mathematical Science - Shahrekord University , Fardi ، Mojtaba Department of Mathematics - Faculty of Mathematical Science - Shahrekord University , Tavassoli Kajani ، Majid Department of Mathematics - Islamic Azad University, Isfahan (Khorasgan) Branch
From page
16
To page
30
Abstract
In this paper, we propose a kernel-based method for some pricing financial options. Based on the ideas of the kernel-based approximation and finite-difference discretization, we present an efficient numerical method for solving the generalized Black-Scholes option pricing models. Utilizing the reproducing property of kernels, we introduce an efficient framework for obtaining cardinal functions. Also, we discuss the solvability of final system to obtain some remarkable results. We provide the error estimate of the proposed kernel-based method and verify its efficiency and accuracy by numerical experiments.
Keywords
Black , Scholes equation , European option pricing , Kernel , Based Method , Finite difference discretization , Error analysis
Journal title
Computational Methods for Differential Equations
Journal title
Computational Methods for Differential Equations
Record number
2755043
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