Analysis of a kernel-based method for some pricing financial options

DOI10.22034/CMDE.2023.56236.2349MaRDI QIDQ6119093zbMATH OpenFDO

Authors Reza Khoshsiar Ghaziani, M. Fardi

Publication date 29 February 2024

Full work available at URL https://doi.org/10.22034/CMDE.2023.56236.2349

zbMATH Keywords

Black-Scholes equationerror analysisEuropean option pricingfinite difference discretizationkernel-based method

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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Cited in

(2)

• Binomial tree method for option pricing: discrete cosine transform approach
• A new options pricing method: semi-stochastic kernel regression method with constraints

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