Accurate radial basis functions technique for competitive and efficient solutions of non-linear Black-Scholes equations

Authors

  • Vinícius Magalhães Pinto Marques
  • Gisele Tessari Santos
  • Mauri Fortes Mauri Fortes Pesquisador Sênior – CNPq Instituto de Educação Tecnológica, IETEC. mauri.fortes@terra.com.br

DOI:

https://doi.org/10.20397/2177-6652/2020.v20i4.2040

Abstract

ABSTRACT

Objective: This article aims to solve the non-linear Black Scholes (BS) equation for European call options using Radial Basis Function (RBF) Multi-Quadratic (MQ) Method.

Methodology / Approach: This work uses the MQ RBF method applied to the solution of two complex models of nonlinear BS equation for prices of European call options with modified volatility. Linear BS models are also solved to visualize the effects of modified volatility.  Additionally, an adaptive scheme is implemented in time based on the Runge-Kutta-Fehlberg (RKF) method.

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Published

2020-11-24

How to Cite

Pinto Marques, V. M., Santos, G. T., & Fortes, M. (2020). Accurate radial basis functions technique for competitive and efficient solutions of non-linear Black-Scholes equations. Journal of Management & Technology, 20(4), 60–83. https://doi.org/10.20397/2177-6652/2020.v20i4.2040

Issue

Vol. 20 No. 4 (2020): Outubro/Dezembro

Section

ARTIGO

License

Copyright (c) 2020 Journal of Management & Technology

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