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:: Volume 6, Issue 4 (Vol. 6, No. 4 2021) ::
Mathematical Researches 2021, 6(4): 0-0 Back to browse issues page
Numerical Solution of Fractional Black Scholes Equation Based on Radial Basis Functions Method
Ali R. Siheili 1, Sedighe Sharifian2, A. Neisy3
1- Ferdowsi university of Mashhad , soheili@um.ac.ir
2- Ferdowsi university of Mashhad
3- Allameh Tabatabai University
Abstract:   (597 Views)
Options pricing have an important role in risk control and risk management. Pricing discussion requires modelling process, solving methods and implementing the model by real data in a given market. In this paper we show a model for underlying asset based on fractional stochastic models which is a particular type of behavior of stochastic assets changing. In addition a numerical method based on radial basis functions is presented that has more accurate answers than the other methods. The stability of the method is also studied. Finally, we carry out the model for real data in coin market by MATLAB software. May studying this paper results in a new approach for derivative pricing in markets.
Keywords: Fractional Derivative, Fractional Black-Scholes equation, Radial Basis Functions method
     
Type of Study: Research Paper | Subject: alg
Received: 2018/07/12 | Accepted: 2019/07/7 | Published: 2021/01/29 | ePublished: 2021/01/29
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Siheili A R, Sharifian S, Neisy A. Numerical Solution of Fractional Black Scholes Equation Based on Radial Basis Functions Method. Mathematical Researches. 2021; 6 (4)
URL: http://mmr.khu.ac.ir/article-1-2813-en.html


Volume 6, Issue 4 (Vol. 6, No. 4 2021) Back to browse issues page
پژوهش‌های ریاضی Mathematical Researches
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