Radial Basis Function in Nonlinear Black-Scholes Option Pricing Equation with Transaction Cost

Onwona-Agyeman, Godwin and Oduro, Francis T. (2019) Radial Basis Function in Nonlinear Black-Scholes Option Pricing Equation with Transaction Cost. Asian Journal of Probability and Statistics, 5 (3). pp. 1-11. ISSN 2582-0230

[thumbnail of Onwona-Agyeman532019AJPAS51751.pdf] Text
Onwona-Agyeman532019AJPAS51751.pdf - Published Version

Download (831kB)

Abstract

Differential equations play significant role in the world of finance since most problems in these areas are modeled by differential equations. Majority of these problems are sometimes nonlinear and are normally solved by the use of numerical methods. This work takes a critical look at Nonlinear Black-Scholes model with special reference to the model by Guy Barles and Halil Mete Soner. The resulting model is a nonlinear Black-Scholes equation in which the variable volatility is a function of the second derivative of the option price. The nonlinear equation is solved by a special class of numerical technique, called, the meshfree approximation using radial basis function. The numerical results are presented in diagrams and tables.

Item Type: Article
Subjects: Research Asian Plos > Mathematical Science
Depositing User: Unnamed user with email support@research.asianplos.com
Date Deposited: 29 Apr 2023 07:41
Last Modified: 19 Oct 2024 11:40
URI: http://abstract.stmdigitallibrary.com/id/eprint/527

Actions (login required)

View Item
View Item