Error Analysis of Meshfree Approximation in Nonlinear Black-Scholes Model

Onwona-Agyeman, Godwin and Oduro, Francis T. and Okyere, Gabriel Asare and Obeng, Awudu (2020) Error Analysis of Meshfree Approximation in Nonlinear Black-Scholes Model. Asian Journal of Probability and Statistics, 8 (3). pp. 55-63. ISSN 2582-0230

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Official URL: https://doi.org/10.9734/ajpas/2020/v8i330210

Abstract

The transaction cost model of Guy Barles and Halil Mete Soner is incorporated into the standard Black Scholes Equation. The resulting model is solved by a numerical method, called, the meshfree approximation using radial basis function. The errors produced by the scheme are discussed and presented in diagrams and tables.

Item Type:	Article
Subjects:	Open Research Librarians > Mathematical Science
Depositing User:	Unnamed user with email support@open.researchlibrarians.com
Date Deposited:	17 Mar 2023 09:28
Last Modified:	04 Apr 2024 09:24
URI:	http://stm.e4journal.com/id/eprint/385

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