Journal of the Korean Society for Industrial and Applied Mathematics

Korean Society for Industrial and Applied Mathematics (한국산업응용수학회)
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AN EFFICIENT METHOD FOR SOLVING TWO-ASSET TIME FRACTIONAL BLACK-SCHOLES OPTION PRICING MODEL

  • DELPASAND, R. (DEPARTMENT OF APPLIED MATHEMATICS AND MAHANI, MATHEMATICAL RESEARCH CENTER FACULTY OF MATHEMATICS AND COMPUTER SHAHID BAHONAR UNIVERSITY OF KERMAN) ;
  • HOSSEINI, M.M. (DEPARTMENT OF APPLIED MATHEMATICS AND MAHANI, MATHEMATICAL RESEARCH CENTER FACULTY OF MATHEMATICS AND COMPUTER SHAHID BAHONAR UNIVERSITY OF KERMAN)
  • Received : 2022.05.15
  • Accepted : 2022.06.15
  • Published : 2022.06.25
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Abstract

In this paper, we investigate an efficient hybrid method for solving two-asset time fractional Black-Scholes partial differential equations. The proposed method is based on the Crank-Nicolson the radial basis functions methods. We show that, this method is convergent and we obtain good approximations for solution of our problems. The numerical results show high accuracy of the proposed method without needing high computational cost.

Keywords

References

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