Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing

DOI10.1016/J.CAMWA.2015.02.018zbMath1443.65249OpenAlexW1980508838MaRDI QIDQ2006103

Reza Mohammadi

Publication date: 8 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2015.02.018

zbMATH Keywords

stabilityconvergenceoption pricingcollocationquintic B-splinegeneralized Black-Scholes equation

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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites Work

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