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A Numerical solution for the new model of time-fractional bond pricing: Using a multiquadric approximation method | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 2، شماره 1، مهر 2022، صفحه 131-150 اصل مقاله (339.7 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2022.14569 | ||
| نویسندگان | ||
Sedighe sharifian  1؛ Ali R. Soheili2؛ Abdolsadeh Neisy3
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| 1Department of Applied mathematics, Ferdowsi university of Mashhad, Mashhad, Iran | ||
| 2Department of applied mathematics Ferdowsi university of Mashhad Mashhad, Iran | ||
| 3Allameh Tabatba'i Univerisy | ||
| چکیده | ||
| The bond market is an important part of the financial markets . The coupon bonds are issued by companies or banks for increasing capital , and the interest is paid by banks or companies, periodically . In terms of maturities , bonds are divided into three categories as follows : short term , medium term , and long term . In this paper , we model the fractional bond pricing under fractional stochastic differential equation . We implement the multiquadric approximation for solving the fractional bond pricing equation . The equation is discretized in the time direction base on modified Riemann-- Liouville derivative and finite difference methods and is approximated by using the multiquadric approximation method in the space direction which achives the semi-- discrete solution . We investigate the unconditional stability and convergence of the proposed method. Numerical results demonstrate the efficiency and ability of the presented method . | ||
| کلیدواژه‌ها | ||
| Fractional derivative Fractional interest rate Time-fractional bond pricing؛ Multiquadric approximation method | ||
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