A hybrid Chelyshkov wavelet-finite differences method for time-fractional black-Scholes equation
- سال انتشار: 1403
- محل انتشار: دوفصلنامه مرکز پژوهشی ریاضی ماهانی، دوره: 13، شماره: 2
- کد COI اختصاصی: JR_KJMMRC-13-2_027
- زبان مقاله: انگلیسی
- تعداد مشاهده: 219
نویسندگان
Department of Applied Mathematics, Faculty of Mathematics and Computer, Shahid Bahonar University of Kerman, Kerman, Iran
Department of Applied Mathematics, Faculty of Mathematics and Computer, Shahid Bahonar University of Kerman, Kerman, Iran
Department of Mathematics, Institute for Advanced Studies in Basic Sciences, P.O. Box ۴۵۱۹۵-۱۱۵۹, Zanjan, Iran
چکیده
In this paper, a hybrid method for solving time-fractional Black-Scholes equation is introduced for option pricing. The presented method is based on time and space discretization. A second order finite difference formula is used to time discretization and space discretization is done by a spectral method based on Chelyshkov wavelets and an operational process by defining Chelyshkov wavelets operational matrices. Convergence and error analysis for Chelyshkov wavelets approximation and also for the proposed method are discussed. The method is validated and its accuracy, convergency and efficiency are demonstrated through some cases with given accurate solutions. The method is also utilize for pricing various European options conducted by a time-fractional Black-Scholes modelکلیدواژه ها
Fractional Black-Scholes Equation, Chelyshkov polynomials, Wavelet, Option pricing, Error analysisاطلاعات بیشتر در مورد COI
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