Analysing time-fractional exotic options via efficient local meshless method
In this article, we analyse the numerical simulation of the time-fractional Black-Scholes model governing butterfly spread option, digital option and double barrier option. For this purpose, a local meshless collocation method based on multiquadric radial basis function is used. The model equation i...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-12-01
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| Series: | Results in Physics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2211379720318520 |