Abstract
In this work, a high-order meshless framework is developed for the numerical resolution of the temporal–fractional Black–Scholes equation arising in option pricing with long-memory effects. The spatial discretization is carried out with a local radial basis function produced finite difference (RBF–FD) method on seven-node stencils. Analytical differentiation weights are constructed by employing closed-form second integrations of a variant of the inverse multiquadric kernel, which yields sparse differentiation matrices. Explicit formulas are derived for both first- and second-order operators, and a detailed truncation error analysis confirms sixth-order convergence in space. Numerical experiments for European options discuss better accuracy per spatial node than standard finite difference schemes.