Touchard wavelet technique for solving time-fractional Black–Scholes model

Nourian F., Lakestanı M., Sabermahani S., Ordokhani Y.

Computational and Applied Mathematics, cilt.41, sa.4, 2022 (SCI-Expanded) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 41 Sayı: 4
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1007/s40314-022-01853-y
  • Dergi Adı: Computational and Applied Mathematics
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Applied Science & Technology Source, Computer & Applied Sciences, zbMATH
  • Anahtar Kelimeler: Convergence analysis, Numerical simulation, Time-fractional Black–Scholes model, Touchard wavelets
  • Van Yüzüncü Yıl Üniversitesi Adresli: Evet

Özet

The main idea of this study is to introduce a novel set of wavelet functions named Touchard wavelets for solving time-fractional Black–Scholes equations. The numerical method is discussed based on the pseudo-operational matrix of Riemann–Liouville fractional integration and the least square approximation method. The methodology of deriving the pseudo-operational matrix is calculated accurately and this has a direct effect on the accuracy of the method. The error estimation is proposed. At last, two numerical experiments are employed to clarify the performance and high accuracy of the present technique.