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http://dx.doi.org/10.12941/jksiam.2022.26.121

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)
Publication Information
Journal of the Korean Society for Industrial and Applied Mathematics / v.26, no.2, 2022 , pp. 121-137 More about this Journal
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
Two-asset option pricing; Fractional Black-Scholes equation; Radial basis functions; Convergency;
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