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
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
