An Efficient Higher-Order Numerical Scheme for Solving Fractional Black-Scholes PDE Using Analytical Weights

This paper presents an efficient numerical approach employing RBF-HFD to tackle fractional option pricing. This scheme as an extension of the RBF-FD technique, offers solutions for partial differential equations (PDEs) via higher order formulas. In this work, we focus on computing analytical weights and to use them in our numerical method directly. The suggested approximations are customized using the multiquadric RBF and three-point uniform stencils for spatial discretization. Numerical results are provided to validate the underlying theory.