Analysis of a kernel-based method for some pricing financial options
نویسندگان
1 Department of Mathematics, Faculty of Mathematical Science, Shahrekord University, Shahrekord, Iran.
2 Department of Mathematics, Faculty of Mathematical Science, Shahrekord University, Shahrekord, Iran.
3 Department of Mathematics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.
4 Department of Mathematics, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.
doi
10.22034/cmde.2023.56236.2349چکیده
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.
