Document Type : Research Article
Authors
- Sedighe sharifian ^{} ^{1}
- Ali R. Soheili ^{2}
- Abdolsadeh Neisy ^{3}
^{1} Department of Applied mathematics, Ferdowsi university of Mashhad, Mashhad, Iran
^{2} Department of applied mathematics Ferdowsi university of Mashhad Mashhad, Iran
^{3} Allameh Tabatba'i Univerisy
Abstract
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 .
Keywords
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