Radial Basis Function in Nonlinear Black-Scholes Option Pricing Equation with Transaction Cost
Godwin Onwona-Agyeman, Francis T. Oduro
Asian Journal of Probability and Statistics · pp. 1–11 · Published 21 Oct 2019
10.9734/ajpas/2019/v5i330138Abstract
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.
Cited by 1
P. Sozhaeswari, R. Sowrirajan, K. Loganathan · Abstract and Applied Analysis · 2022
Related research
- A Comparative Analysis of Neural Network Architectures for Predicting Indian Rice Production — shares topic coverage
- Evapotranspiration Estimation Using Artificial Neural Network over South-Western Nigeria — shares topic coverage
- Application of Machine Learning (ML) for Enhancing the Transient Performance of Thermal Energy Storage (TES) Platforms Using Radial Basis Function (RBF) — shares topic coverage
- Error Analysis of Meshfree Approximation in Nonlinear Black-Scholes Model — shares topic coverage
- Hyers-Ulam-Rassias Instability for Linear and Nonlinear Systems of Differential Equations — shares topic coverage
Article metrics
Real usage data collected on this platform.
0
Page views
0
PDF downloads
0
Outbound clicks
1
Citations
Views by country
Approximate, from request IP at view time — not citizenship or institution. Countries with fewer than 5 views are grouped as "Other".
No views recorded yet.
Traffic sources
Referring site, by host.
No traffic recorded yet.
Views and downloads exclude known bots/crawlers. Citations combines this platform's own DOI-resolved index with each external source's own reported total — see Cited by above for individually listed citing works. Last refreshed 0 seconds ago.