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

Ahmadi Balootaki, Parisa; Khoshsiar Ghaziani, Reza; Fardi, Mojtaba; Tavassoli Kajani, Majid

doi:10.22034/cmde.2023.56236.2349

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	Analysis of a kernel-based method for some pricing financial options
Computational Methods for Differential Equations
مقاله 2، دوره 12، شماره 1، فروردین 2024، صفحه 16-30 اصل مقاله (476.92 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22034/cmde.2023.56236.2349
نویسندگان
Parisa Ahmadi Balootaki¹؛ Reza Khoshsiar Ghaziani^* ²؛ Mojtaba Fardi²؛ Majid Tavassoli Kajani¹
¹Department of Mathematics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.
²Department of Mathematics, Faculty of Mathematical Science, Shahrekord University, Shahrekord, Iran.
چکیده
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.
کلیدواژه‌ها
Black-Scholes equation؛ European option pricing؛ Kernel-based method؛ Finite difference discretization؛ Error analysis

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