Error Analysis of Meshfree Approximation in Nonlinear Black-Scholes Model
Godwin Onwona-Agyeman, Francis T. Oduro, Gabriel Asare Okyere, Awudu Obeng
Asian Journal of Probability and Statistics · pp. 55–63 · Published 28 Aug 2020
10.9734/ajpas/2020/v8i330210Abstract
The transaction cost model of Guy Barles and Halil Mete Soner is incorporated into the standard Black Scholes Equation. The resulting model is solved by a numerical method, called, the meshfree approximation using radial basis function. The errors produced by the scheme are discussed and presented in diagrams and tables.
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