Numerical Solution of Time Fractional Black–Scholes Model Based on Legendre Wavelet Neural Network with Extreme Learning Machine

In this paper, the Legendre wavelet neural network with extreme learning machine is proposed for numerical solution of time fractional Black–Scholes model. way, operational matrix derivative based on two-dimensional derived and employed to solve European options pricing problem. This scheme converts problem into calculation a set algebraic equations. The constructed; meanwhile, algorithm adopted speed up rate avoid over-fitting order evaluate performance scheme, comparative study implicit differential method constructed validate its feasibility effectiveness. Experimental results illustrate that offers satisfactory compared benchmark method.