Space-time kernel based numerical method for generalized Black-Scholes equation

Abstract

In approximating time-dependent partial differential equations, major error always occurs in the time derivatives as compared to the spatial derivatives. In the present work the time and the spatial derivatives are both approximated using time-space radial kernels. The proposed numerical scheme avoids the time stepping procedures and produced sparse differentiation matrices. The stability and accuracy of the proposed numerical scheme is tested for the generalized Black-Scholes equation.