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Analysis of a kernel-based method for some pricing financial options

Publish place: Computational Methods for Differential Equations، Vol: 12، Issue: 1
Publish Year: 1403
Type: Journal paper
Language: English
View: 169

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Link to this Paper:
https://civilica.com/doc/1830786

Document National Code:

JR_CMDE-12-1_002

Index date: 25 November 2023

Analysis of a kernel-based method for some pricing financial options 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.

Analysis of a kernel-based method for some pricing financial options Keywords:

Black-Scholes equation , European option pricing , Kernel-Based Method , Finite difference discretization , Error analysis

Analysis of a kernel-based method for some pricing financial options authors

Parisa Ahmadi Balootaki

Department of Mathematics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.

Reza Khoshsiar Ghaziani

Department of Mathematics, Faculty of Mathematical Science, Shahrekord University, Shahrekord, Iran.

Mojtaba Fardi

Department of Mathematics, Faculty of Mathematical Science, Shahrekord University, Shahrekord, Iran.

Majid Tavassoli Kajani

Department of Mathematics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.

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