Error Analysis of Meshfree Approximation in Nonlinear Black-Scholes Model
Godwin Onwona-Agyeman *
Kwame Nkrumah University of Science and Technology, Department of Mathematics, Kumasi, Ghana and Akumadan Senior High School, Akumadan-Ashanti, Ghana.
Francis T. Oduro
Kwame Nkrumah University of Science and Technology, Department of Mathematics, Kumasi, Ghana and African Institute of Mathematical Sciences, Accra, Ghana.
Gabriel Asare Okyere
Kwame Nkrumah University of Science and Technology, Department of Mathematics, Kumasi, Ghana.
Awudu Obeng
Kwame Nkrumah University of Science and Technology, Department of Mathematics, Kumasi, Ghana and Kumasi Academy, Kumasi-Ashanti, Ghana.
*Author to whom correspondence should be addressed.
Abstract
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.
Keywords: Black-Scholes, radial basis function, error analysis, differential equations