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A numerical study of the European option by the MLPG method with moving kriging interpolation.

ABSTRACT: In this paper, the meshless local Petrov-Galerkin (MLPG) method is applied for solving a generalized Black-Scholes equation in financial problems. This equation is a PDE governing the price evolution of a European call or a European put under the Black-Scholes model. The ?-weighted method and MLPG are used for discretizing the governing equation in time variable and option pricing, respectively. We show that the spectral radius of amplification matrix with the discrete operator is less than 1. This ensures that this numerical scheme is stable. Numerical experiments are performed with time varying volatility and the results are compared with the analytical and the numerical results of other methods.

SUBMITTER: Phaochoo P

PROVIDER: S-EPMC4783319 | biostudies-other | 2016

REPOSITORIES: biostudies-other

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A numerical study of the European option by the MLPG method with moving kriging interpolation.

Phaochoo P P Luadsong A A Aschariyaphotha N N

SpringerPlus 20160309

In this paper, the meshless local Petrov-Galerkin (MLPG) method is applied for solving a generalized Black-Scholes equation in financial problems. This equation is a PDE governing the price evolution of a European call or a European put under the Black-Scholes model. The θ-weighted method and MLPG are used for discretizing the governing equation in time variable and option pricing, respectively. We show that the spectral radius of amplification matrix with the discrete operator is less than 1. T ...[more]

PMID: 27064892

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