A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation

DOI10.1016/j.mcm.2011.10.040zbMath1255.91431OpenAlexW2057949621MaRDI QIDQ1933924

Alpesh Kumar, Mohan K. Kadalbajoo, Lok Pati Tripathi

Publication date: 27 January 2013

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.10.040

zbMATH Keywords

option pricingmethod of linescollocationB-splineScholes equationgeneralized blackrannacher time-stepping technique

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (34)

Space-time kernel based numerical method for generalized Black-Scholes equation ⋮ An accurate solution for the generalized Black-Scholes equations governing option pricing ⋮ A hybrid finite difference scheme for pricing Asian options ⋮ Unnamed Item ⋮ An improvised collocation algorithm to solve generalized Burgers'-Huxley equation ⋮ Adaptive wavelet precise integration method for nonlinear Black-Scholes model based on variational iteration method ⋮ Option pricing using a computational method based on reproducing kernel ⋮ A sixth order numerical method and its convergence for generalized Black-Scholes PDE ⋮ Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval ⋮ Uniformly convergent scheme for two‐parameter singularly perturbed problems with non‐smooth data ⋮ Numerical solution of generalized Black-Scholes model ⋮ A stable time-dependent mesh method for generalized credit rating migration problem ⋮ A fourth order numerical method based on B-spline functions for pricing Asian options ⋮ An improvised extrapolated collocation algorithm for solving Kuramoto–Sivashinsky equation ⋮ Design and analysis of a high order computational technique for time‐fractional Black–Scholes model describing option pricing ⋮ Lattice Boltzmann method for the generalized Black-Scholes equation ⋮ Unnamed Item ⋮ Cubic spline method for a generalized Black-Scholes equation ⋮ An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options ⋮ High-order exponential spline method for pricing European options ⋮ Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option ⋮ Numerical approximation of a time-fractional Black-Scholes equation ⋮ Applying cubic B-spline quasi-interpolation to solve 1D wave equations in polar coordinates ⋮ Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing ⋮ An efficient algorithm based on extrapolation for the solution of nonlinear parabolic equations ⋮ A compact finite difference scheme for fractional Black-Scholes option pricing model ⋮ An efficient algorithm based on extrapolation for the solution of nonlinear parabolic equations ⋮ A robust spline collocation method for pricing American put options ⋮ A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option ⋮ A quintic spline collocation method for solving time-dependent convection-diffusion problems ⋮ A highly accurate algorithm for retrieving the predicted behavior of problems with piecewise-smooth initial data ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Application of the local radial basis function-based finite difference method for pricing American options

Cites Work

• The Pricing of Options and Corporate Liabilities
• A robust and accurate finite difference method for a generalized Black-Scholes equation
• Finite element solution of diffusion problems with irregular data
• A lower bound for the smallest singular value of a matrix
• Optimal error bounds for cubic spline interpolation
• An upwind approach for an American and European option pricing model
• Estimation of local volatilities in a generalized Black-Scholes model
• Far Field Boundary Conditions for Black--Scholes Equations
• High-order numerical methods for one-dimensional parabolic singularly perturbed problems with regular layers
• Survey of the stability of linear finite difference equations
• On the smoothing property of the crank-nicolson scheme
• Some mathematical results in the pricing of American options
• Stability of Time-Stepping Methods for Abstract Time-Dependent Parabolic Problems
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Option pricing: A simplified approach
• Tools for computational finance.
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation