An efficient numerical scheme to approach the time fractional black–scholes model using orthogonal gegenbauer polynomials

YE Aghdam, H Mesgarani, A Amin… - Computational …, 2024 - Springer
This paper proposes an efficient procedure to estimate the fractional Black–Scholes model
in time-dependent on the market prices of European options using the composition of the …

American options pricing under regime-switching jump-diffusion models with meshfree finite point method

M Shirzadi, M Rostami, M Dehghan, X Li - Chaos, Solitons & Fractals, 2023 - Elsevier
In an incomplete market construction and by no-arbitrage assumption, the American options
pricing problem under the jump-diffusion regime-switching process is formulated by a …

RBF based some implicit–explicit finite difference schemes for pricing option under extended jump-diffusion model

R Yadav, DK Yadav, A Kumar - Engineering Analysis with Boundary …, 2023 - Elsevier
In this manuscript, we presented some efficient and accurate radial basis function-based
finite difference (RBF-FD) implicit–explicit (IMEX) numerical techniques for pricing the option …

A radial basis function-Hermite finite difference (RBF-HFD) method for the cubic-quintic complex Ginzburg–Landau equation

M Haghi, M Ilati, M Dehghan - Computational and Applied Mathematics, 2023 - Springer
In this paper, the cubic–quintic complex Ginzburg–Landau (CQCGL) equation is numerically
studied in 1D, 2D and 3D spaces. First, by the Strang splitting technique, the CQCGL …

An Accurate Compact Finite Difference Scheme for Solving the American Option with M-Regime Switching Model

YS Lin, W Dai, R Liu - International Journal of Applied and Computational …, 2023 - Springer
American option prices with M-regime switching satisfy a system of M free boundary value
problems, which is challenging to solve, particularly for large M. In this article, we present an …

A local radial basis function-compact finite difference method for Sobolev equation arising from fluid dynamics

M Ilati - Engineering Analysis with Boundary Elements, 2024 - Elsevier
In this article, a new high-order, local meshless technique is presented for numerically
solving multi-dimensional Sobolev equation arising from fluid dynamics. In the proposed …

RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients

R Yadav, DK Yadav, A Kumar - Numerical Algorithms, 2024 - Springer
In this manuscript, we introduced the radial basis function based three implicit-explicit
(IMEX) finite difference techniques for pricing European and American options in an …

Operator Splitting Method to Solve the Linear Complementarity Problem for Pricing American Option: An Approximation of Error

DK Yadav, A Bhardwaj, A Kumar - Computational Economics, 2024 - Springer
In this manuscript, we proposed the stability and error analysis for the backward difference
operator splitting (BDF-OS) methods to solve the linear complementarity problem (LCP) for …

A Radial Basis Function‐Hermite Finite Difference Method for the Two‐Dimensional Distributed‐Order Time‐Fractional Cable Equation

M Haghi, M Ilati - Mathematical Methods in the Applied …, 2025 - Wiley Online Library
In this article, our main objective is to propose a high‐order local meshless method for
numerical solution of two‐dimensional distributed‐order time‐fractional cable equation on …

Finite difference methods for the Hamilton–Jacobi–Bellman equations arising in regime switching utility maximization

J Ma, J Ma - Journal of Scientific Computing, 2020 - Springer
For solving the regime switching utility maximization, Fu et al.(Eur J Oper Res 233: 184–192,
2014) derive a framework that reduce the coupled Hamilton–Jacobi–Bellman (HJB) …